Introductory Time Series with R

Time Series Data.- Correlation.- Forecasting Strategies.- Basic Stochastic Models.- Regression.- Stationary Models.- Non-stationary Models.- Long-Memory Processes.- Spectral Analysis.- System Identification.- Multivariate Models.- State Space Models.

Paul Cowpertwait is an associate professor in mathematical sciences (analytics) at Auckland University of Technology with a substantial research record in both the theory and applications of time series and stochastic models. Andrew Metcalfe is an associate professor in the School of Mathematical Sciences at the University of Adelaide, and an author of six statistics text books and numerous research papers. Both authors have extensive experience of teaching time series to students at all levels.

From the reviews:

"The book...gives a very broad and practical overview of the most common models for time series analysis in the time domain and in the frequency domain, with emphasis on how to implement them with base R and existing R packages such as Rnlme, MASS, tseries, fracdiff, mvtnorm, vars, and sspir. The authors explain the models by first giving a basic theoretical introduction followed by simulation of data from a particular model and fitting the latter to the simulated data to recover the parameters. After that, they fit the class of models to either environmental, finance, economics, or physics data. There are many applications to climate change and oceanography. The R programs for the simulations are given even if there are R functions that would do the simulation. All examples given can be reproduced by the reader using the code provided...in all chapters. Exercises at the end of each chapter are interesting, involving simulation, estimation, description, graphical analysis, and some theory. Data sets used throughout the book are available in a web site or come with base R or the R packages used. The book is a great guide to those wishing to get a basic introduction to modern time series modeling in practice, and in a short amount of time. ..." (Journal of Statistical Software, January 2010, Vol. 32, Book Review 4)

"Later year undergraduates, beginning graduate students, and researchers and graduate students in any discipline needing to explore and analyse time series data. This very readable text covers a wide range of time series topics, always however within a theoretical framework that makes normality assumptions. The range of models that are discussed is unusually wide for an introductory text. ... The mathematical theory is remarkably complete ... . This text is recommended for its wide-ranging and insightful coverage of time series theory and practice." (John H. Maindonald, International Statistical Review, Vol. 78 (3),