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:
Modelling, Computation and Inference

Raquel Prado & Mike West
Chapman & Hall/CRC,
The Taylor Francis Group, 2010

ISBN: 9781420093360

This book at the CRC Press web page

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First edition, 2010: Errata

Searchable & up-to-date Bibliography


LIST OF CHAPTERS

  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. Multivariate DLMs and covariance models