Palgrave Advanced Texts in Econometrics – serie

This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.

This book develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance.

This book provides a broad introduction to computational aspects of Singular Spectrum Analysis (SSA) which is a non-parametric technique and requires no prior assumptions such as stationarity, normality or linearity of the series. This book is unique as it not only details the theoretical aspects underlying SSA, but also provides a comprehensive guide enabling the user to apply the theory in practice using the R software. Further, it provides the user with step- by- step coding and guidance for the practical application of the SSA technique to analyze their time series databases using R. The first two chapters present basic notions of univariate and multivariate SSA and their implementations in R environment. The next chapters discuss the applications of SSA to change point detection, missing-data imputation, smoothing and filtering. This book is appropriate for researchers, upper level students (masters level and beyond) and practitioners wishing to revive their knowledge of times series analysis or to quickly learn about the main mechanisms of SSA.

This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.