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amzoti
Posts:
1,108
Registered:
3/6/07


Re: Time series  textbook and software
Posted:
Apr 29, 2013 12:10 PM


On Monday, April 29, 2013 9:08:22 AM UTC7, amzoti wrote: > On Monday, April 29, 2013 6:27:25 AM UTC7, Evgeny Turchyn wrote: > > > Hello, All! > > > > > > I'll have to teach undergraduate students time series analysis. What > > > > > > textbook should I use? The course is supposed to be rather broad > > > > > > (including AR, MA, ARMA; GARCH etc; some spectral analysis, Kalman > > > > > > filter, even elements of nonlinear dynamics) and rather rigorous > > > > > > mathematically (it's for students majoring in math). > > > > > > Can anyone share his opinion about the following textbooks: > > > > > > 1) Wei "Time Series Analysis"; > > > > > > 2) Brockwell, Davis "Time Series. Theory and Methods"; > > > > > > 3) Cryer, Chan "Time Series Analysis"; > > > > > > 4) Shumway, Stoffer "Time Series Analysis and Its > > > > > > Applications". > > > > > > Second question. What software package should I use for time series > > > > > > analysis practice with my undegraduate class? I need support of the > > > > > > abovementioned things (and I'd like to have easytouse software). > > > > > > > > > > > > Best regards, Evgeny. > > > > I am not expert, but you might want to consider "R". > > > > See: http://alittlebookofrfortimeseries.readthedocs.org/en/latest/src/timeseries.html
Here is a more detailed page: http://cran.rproject.org/web/views/TimeSeries.html



