Introduction to Statistical Time Series (Wiley Series in Probability and Statistics) Review

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(More customer reviews)In 1981 I used this book for a graduate seminar that I taught on time series analysis at UC Santa Barbara. The course was successful because I followed the text closely. It presents the material in a rigorous and cogent manner. At the time there were a few competing books but some emphasized time domain methods and others were strictly frequency domain approaches. Fuller balances the two very well and his book is better written and organized than most of the competitors at that time (1981).
Today there are a lot more books to choose from. You can check my listmania list on time series books to get an idea. I particularly like Brockwell and Davis' book as a competitor to Fuller for a graduate level time series seminar.

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The subject of time series is of considerable interest, especially among researchers in econometrics, engineering, and the natural sciences. As part of the prestigious Wiley Series in Probability and Statistics, this book provides a lucid introduction to the field and, in this new Second Edition, covers the important advances of recent years, including nonstationary models, nonlinear estimation, multivariate models, state space representations, and empirical model identification. New sections have also been added on the Wold decomposition, partial autocorrelation, long memory processes, and the Kalman filter.
Major topics include:
Moving average and autoregressive processes
Introduction to Fourier analysis
Spectral theory and filtering
Large sample theory
Estimation of the mean and autocorrelations
Estimation of the spectrum
Parameter estimation
Regression, trend, and seasonality
Unit root and explosive time series

To accommodate a wide variety of readers, review material, especially on elementary results in Fourier analysis, large sample statistics, and difference equations, has been included.

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