Title A very British affair : six Britons and the development of time series analysis during the 20th century / Terence C. Mills

Published Basingstoke : Palgrave Macmillan, 2012

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Description 1 online resource Series Palgrave advanced texts in econometrics Palgrave advanced texts in econometrics. Contents 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? Summary 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 Notes Print version record Subject Time-series analysis -- History History of mathematics -- United Kingdom, Great Britain. Probability & statistics -- United Kingdom, Great Britain. MATHEMATICS -- Probability & Statistics -- Time Series. Mathematics. Time-series analysis Genre/Form History Form Electronic book ISBN 9781137291264 1137291265 0230369111 9780230369115 9781283946940 1283946947

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