[R] Time Series Analysis: book?

Spencer Graves spencer.graves at pdf.com
Fri Sep 9 05:44:43 CEST 2005

	  1.  Have you read the appropriate chapter in Venables and Ripley 
(2002) Modern Applied Statists with S (Springer)?  If no, I suggest you 
start there.

	  2.  Have you worked through the vignettes associated with the "zoo" 
package?  If no, you might find that quite useful.  [Are you aware that 
edit(vignette(...)) will provide a script file with the R code discussed 
in the vignette, which can be viewed in Adobe Acrobat while you are 
working throught the examples line by line, modifying them, etc.?  I've 
found this to be very useful.  If you use XEmacs, "edit(vignette(...))" 
may not work.  Instead, try Stangle(vignette(...)$file).  This will copy 
the R code to a file in the working directory, which you can then open.]

	  3.  Have you considered Durbin, J. and Koopman, S. J. (2001) _Time 
Series Analysis by State Space Methods._  Oxford University Press?  If 
no, you might want to spend some time with that.

	   I'm still looking for the right kind of introduction and overview to 
what is available in R for time series analysis, especially with a 
Bayesian approach to Kalman filtering and smoothing.  Unfortunately, I 
have yet to find the key I feel I need to get started, though I found 
the vignettes with zoo to be quite helpful.

	  spencer graves

Jean-Luc Fontaine wrote:

> Wensui Liu wrote:
>>TS is a huge topic. The book recomended by statisitcian might be
>>different from the one recommended by econometrician. Finance guy
>>might recommend another. Could you please be more specific?
> My software (http://moodss.sourceforge.net) collects, archives in a
> SQL database and displays data from monitored devices, mostly
> computers, databases and network equipment.
> My idea is to use the stored data to perform predictions for capacity
> planning purposes. For example, based on the trafic on a network
> line for the last 12 months, what is the expected evolution in the
> next 3 months.
> So the data is more of the engineering type, I guess. But since the
> software is modular, somebody could also use it to monitor the stock
> market.
> Actually, anything can be monitored so the data could come from
> any source although practically mostly from computing related devices
> and activities.
> So I would like a book covering at least those subjects if possible.
> Thanks very much for your help.

Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves at pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915

More information about the R-help mailing list