Spectral Analysis and Time Series, Two-Volume Set : Volumes I and II (Spectral Analysis & Time Series & Vol.2)

Rating:
Summary: Needs more examples but still very good.
Review: I thought James D. Hamiltons book Time Serives Aanlysis was better. It was easier to understand and covered more material, including VAR models and State Space. Still this was and is an excellent book, and it goes into details about multivariate statistics that are not contained in Hamilton's book. I have the same complaint about this book as Hamilton's. Not enough examples. I compare these two books to those of Hosmer and Lemeshow's Applied Logistic Regression where there were nurmerous examples and problems to solve based on data they had provided.

Michael Quigley Director, Statistical Model and Data Mining Wells Fargo Bank

Rating:
Summary: Theoretical
Review: This book covers almost all possible aspects of spectral analysis of time series. The problem is that it is almost exclusively theoretical. It should not be used for learning spectral analysis but rather as a reference book. There are very few practical examples but when looking for a proof or an abstract presentation of a particular concept, this book should allow you to understand the theory that lies behind... However, a very good treatment of spectral analysis and very broad coverage of the subject...