Re: [R] time series analysis
Hello John,
as a starting point you might also want to have a look at:
@book{BOOK,
author={Robert S Pindyck and Daniel L Rubinfeld},
title={Econometric Models and Economic Forecasts},
year={1997},
publisher={McGraw-Hill/Irwin},
isbn={0079132928}
}
The monographies of Hamilton and Lütkepohl might then be taken into focus.
Best,
Bernhard
John --
Well, as a start, have a look at Modern Applied Statistics with S, by
Venables and Ripley, both of which names you will recognize if you read
this list often. There is a 30-page chapter on time series (with
suggestions for other readings), obviously geared to S and R, that is a
good jumping-off place.
Ben Fairbank
-Original Message-
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of lamack lamack
Sent: Thursday, February 01, 2007 3:12 PM
To: R-help@stat.math.ethz.ch
Subject: [R] time series analysis
Does anyone know a good introductory book or tutorial about
time series
analysis? (time
series for a beginner).
Thank you so much.
John Lamak
_
Descubra como mandar Torpedos SMS do seu Messenger para o celular dos
seus
amigos. http://mobile.msn.com/
__
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
__
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
*
Confidentiality Note: The information contained in this mess...{{dropped}}
__
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[R] time series analysis
Does anyone know a good introductory book or tutorial about time series analysis? (time series for a beginner). Thank you so much. John Lamak _ Descubra como mandar Torpedos SMS do seu Messenger para o celular dos seus amigos. http://mobile.msn.com/ __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] time series analysis
John -- Well, as a start, have a look at Modern Applied Statistics with S, by Venables and Ripley, both of which names you will recognize if you read this list often. There is a 30-page chapter on time series (with suggestions for other readings), obviously geared to S and R, that is a good jumping-off place. Ben Fairbank -Original Message- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of lamack lamack Sent: Thursday, February 01, 2007 3:12 PM To: R-help@stat.math.ethz.ch Subject: [R] time series analysis Does anyone know a good introductory book or tutorial about time series analysis? (time series for a beginner). Thank you so much. John Lamak _ Descubra como mandar Torpedos SMS do seu Messenger para o celular dos seus amigos. http://mobile.msn.com/ __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Time Series Analysis: book?
There has been a few questions on the subject lately. Is there any book on the subject, if possible with a computer processing flavor, that you would highly recommend? Many thanks in advance, -- Jean-Luc __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Time Series Analysis: book?
TS is a huge topic. The book recomended by statisitcian might be different from the one recommended by econometrician. Finance guy might recommend another. Could you please be more specific? On 9/8/05, [EMAIL PROTECTED] [EMAIL PROTECTED] wrote: There has been a few questions on the subject lately. Is there any book on the subject, if possible with a computer processing flavor, that you would highly recommend? Many thanks in advance, -- Jean-Luc __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html -- WenSui Liu (http://statcompute.blogspot.com) Senior Decision Support Analyst Cincinnati Children Hospital Medical Center [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Time Series Analysis: book?
Wensui Liu wrote: TS is a huge topic. The book recomended by statisitcian might be different from the one recommended by econometrician. Finance guy might recommend another. Could you please be more specific? My software (http://moodss.sourceforge.net) collects, archives in a SQL database and displays data from monitored devices, mostly computers, databases and network equipment. My idea is to use the stored data to perform predictions for capacity planning purposes. For example, based on the trafic on a network line for the last 12 months, what is the expected evolution in the next 3 months. So the data is more of the engineering type, I guess. But since the software is modular, somebody could also use it to monitor the stock market. Actually, anything can be monitored so the data could come from any source although practically mostly from computing related devices and activities. So I would like a book covering at least those subjects if possible. Thanks very much for your help. -- Jean-Luc Fontaine http://jfontain.free.fr/ __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Time Series Analysis: book?
1. Have you read the appropriate chapter in Venables and Ripley (2002) Modern Applied Statists with S (Springer)? If no, I suggest you start there. 2. Have you worked through the vignettes associated with the zoo package? If no, you might find that quite useful. [Are you aware that edit(vignette(...)) will provide a script file with the R code discussed in the vignette, which can be viewed in Adobe Acrobat while you are working throught the examples line by line, modifying them, etc.? I've found this to be very useful. If you use XEmacs, edit(vignette(...)) may not work. Instead, try Stangle(vignette(...)$file). This will copy the R code to a file in the working directory, which you can then open.] 3. Have you considered Durbin, J. and Koopman, S. J. (2001) _Time Series Analysis by State Space Methods._ Oxford University Press? If no, you might want to spend some time with that. I'm still looking for the right kind of introduction and overview to what is available in R for time series analysis, especially with a Bayesian approach to Kalman filtering and smoothing. Unfortunately, I have yet to find the key I feel I need to get started, though I found the vignettes with zoo to be quite helpful. spencer graves Jean-Luc Fontaine wrote: Wensui Liu wrote: TS is a huge topic. The book recomended by statisitcian might be different from the one recommended by econometrician. Finance guy might recommend another. Could you please be more specific? My software (http://moodss.sourceforge.net) collects, archives in a SQL database and displays data from monitored devices, mostly computers, databases and network equipment. My idea is to use the stored data to perform predictions for capacity planning purposes. For example, based on the trafic on a network line for the last 12 months, what is the expected evolution in the next 3 months. So the data is more of the engineering type, I guess. But since the software is modular, somebody could also use it to monitor the stock market. Actually, anything can be monitored so the data could come from any source although practically mostly from computing related devices and activities. So I would like a book covering at least those subjects if possible. Thanks very much for your help. -- Spencer Graves, PhD Senior Development Engineer PDF Solutions, Inc. 333 West San Carlos Street Suite 700 San Jose, CA 95110, USA [EMAIL PROTECTED] www.pdf.com http://www.pdf.com Tel: 408-938-4420 Fax: 408-280-7915 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Time Series Analysis: book?
Quoting Spencer Graves [EMAIL PROTECTED]: 1. Have you read the appropriate chapter in Venables and Ripley (2002) Modern Applied Statists with S (Springer)? If no, I suggest you start there. 2. Have you worked through the vignettes associated with the zoo package? If no, you might find that quite useful. [Are you aware that edit(vignette(...)) will provide a script file with the R code discussed in the vignette, which can be viewed in Adobe Acrobat while you are working throught the examples line by line, modifying them, etc.? I've found this to be very useful. If you use XEmacs, edit(vignette(...)) may not work. Instead, try Stangle(vignette(...)$file). This will copy the R code to a file in the working directory, which you can then open.] 3. Have you considered Durbin, J. and Koopman, S. J. (2001) _Time Series Analysis by State Space Methods._ Oxford University Press? If no, you might want to spend some time with that. I'm still looking for the right kind of introduction and overview to what is available in R for time series analysis, especially with a Bayesian approach to Kalman filtering and smoothing. Unfortunately, I have yet to find the key I feel I need to get started, though I found the vignettes with zoo to be quite helpful. Thank you very much Spencer and all who responded. I think I have enough to get started with all this valuable information. -- Jean-Luc __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
