Mike West, Duke University  

Mike West
The Arts & Sciences Professor of Statistical Science
Department of Statistical Science
Duke University

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Time Series:
Modeling, Computation and Inference

Chapman & Hall/CRC,
The Taylor Francis Group

Raquel Prado, Marco A.R. Ferreira
    & Mike West


    - 2nd edition, 2021
    - Available at CRC web page
    - and on Amazon
    - ISBN: 9781498747028
    - eBook ISBN: 9781351259422
    - Errata to PFW (1st printing)

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Searchable & 2021 up-to-date Bibliography

LIST OF CHAPTERS: Prado, Ferreira & West, 2nd edition, 2021
  1. Notation, definitions and basic inference
  2. Traditional linear time series models
  3. The frequency domain
  4. Dynamic linear models
  5. State-space TVAR models
  6. General state-space models
  7. Mixture models in time series
  8. Topics and examples in multiple time series
  9. Vector AR and ARMA models
  10. General classes of multivariate dynamic models
  11. Latent factor models
This is an updated and extended version of the 2010 1st edition (Prado & West)