Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes and non-linear models. Most of the programs used in the book are available on diskettes for the IBM-PC. These diskettes, with the accompanying manual, ITSM: The Interactive Time Series Modelling Package for the PC, also by Brockwell and Davis, can be purchased from Springer-Verlag.

This is an introduction to time series that emphasizes methods and analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills. Statisticians and students will learn the latest methods in time series and forecasting, along with modern computational models and algorithms.

This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.

The analysis of time series data is an important aspect of data analysis across a wide range of disciplines, including statistics, mathematics, business, engineering, and the natural and social sciences. This package provides both an introduction to time series analysis and an easy-to-use version of a well-known time series computing package called Interactive Time Series Modelling. The programs in the package are intended as a supplement to the text Time Series: Theory and Methods, 2nd edition, also by Peter J. Brockwell and Richard A. Davis. Many researchers and professionals will appreciate this straightforward approach enabling them to run desk-top analyses of their time series data. Amongst the many facilities available are tools for: ARIMA modelling, smoothing, spectral estimation, multivariate autoregressive modelling, transfer-function modelling, forecasting, and long-memory modelling. This version is designed to run under Microsoft Windows 3.1 or later. It comes with two diskettes: one suitable for less powerful machines (IBM PC 286 or later with 540K available RAM and 1.1 MB of hard disk space) and one for more powerful machines (IBM PC 386 or later with 8MB of RAM and 2.6 MB of hard disk space available).

Designed for the analysis of linear time series and the practical modelling and prediction of data collected sequentially in time. It provides the reader with a practical understanding of the six programs contained in the ITSM software (PEST, SPEC, SMOOTH, TRANS, ARVEC, and ARAR). This IBM compatible software is included in the back of the book on two 5 1/4'' diskettes and on one 3 1/2 '' diskette. - Easy to use menu system - Accessible to those with little or no previous compu- tational experience - Valuable to students in statistics, mathematics, busi- ness, engineering, and the natural and social sciences. This package is intended as a supplement to the text by the same authors, "Time Series: Theory and Methods." It can also be used in conjunction with most undergraduate and graduate texts on time series analysis.