Time series : a first course with bootstrap starter /
Tucker S. McElroy and Dimitris N,Politis
- Boca Raton CRC Press 2020
- 566p.
- Texts in statistical science. .
The book provides the foundation of time series methods, including linear filters and a geometric approach to prediction. The critical paradigm of ARMA models is studied in-depth, as well as frequency-domain methods. Entropy and other information-theoretic notions are introduced, with applications to time series modelling."