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Time series - textbook and software
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Evgeny Turchyn
Apr 29, 2013, 9:27:25 AM4/29/13
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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
above-mentioned things (and I'd like to have easy-to-use software).
Best regards, Evgeny.
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
above-mentioned things (and I'd like to have easy-to-use software).
Best regards, Evgeny.
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