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Palgrave Macmillan

A Very British Affair

Six Britons and the Development of Time Series Analysis During the 20th Century

ISBN 9780230369115
Publication Date December 2012
Formats Hardcover Ebook (PDF) Ebook (EPUB) 
Publisher Palgrave Macmillan
Series Palgrave Advanced Texts in Econometrics

This book develops the major themes of time series analysis from its beginnings in the early part of the 20th Century through to the present day. This is done by uniquely concentrating on the research of six distinguished British statisticians, Udny Yule, Maurice Kendall, James Durbin, George Box and Gwilym Jenkins, and Clive Granger, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance, accompanied by great technical skill and unusual integrity.

Many of the key examples and graphics found in the seminal articles of these authors are recreated and their original voices are provided so that their readers can become acquainted with the contemporary views of the protagonists.

This book should be of interest to anyone who desires an historical appreciation of the development of time series analysis and it also provides an essential background to current advanced textbooks on the subjects.

TERENCE C. MILLS is Professor of Applied Statistics and Econometrics at the University of Loughborough University, UK, having previously held professorial appointments at City University Business School and the University of Hull, UK. He has authored over 200 publications in a range of areas, including The Palgrave Handbook of Econometrics (co-edited with Kerry Patterson) and The Foundations of Modern Time Series Analysis.

Time Series Analysis and the British
Yule: The time-correlation Problem, Nonsense Correlations, Periodicity and Autoregressions
Kendall: Generalizations and Extensions of Stationary Autoregressive Models
Durbin: Inference, Estimation, Seasonal Adjustment and Structural Modelling
Jenkins: Inference in Autoregressive Models and Spectral Analysis
Box and Jenkins: Time Series Analysis, Forecasting and Control
Box and Jenkins: Modelling Seasonal Time Series and Transfer Function Analysis
Box and Jenkins: Developments Post-1970
Granger: Spectral Analysis, Causality, Forecasting, Model Interpretation and Non-linearity
Granger: Long Memory, Fractional Differencing, Spurious Regressions and Cointegration
The End of the Affair?

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