The Analysis of Time-series: An Introduction by Chris Chatfield

<title>Web page for my Time-Series text</title>

<h1>The Analysis of Time-series: An Introduction by Chris Chatfield</h1>

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<li>A best-selling text on time series.
<li><b>The 6th edition was published in July 2003.</b>
<li>Suitable as a text for a course on time-series analysis for 
advanced undergraduate or graduate statistics students.

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<li>Total sales exceed 40,000.
<li>ISBN is 1-58488-317-0
<li>333 pages 

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<li>This book provides a comprehensive introduction to the 
theory and practice of time-series analysis.
It covers simple descriptive techniques, probability models for time series,
estimation, forecasting, spectral analysis, bivariate processes, 
linear systems, state-space models, non-linear models and multivariate models.
It includes recent topics such as GARCH models and neural networks.
The <b>new 6th edition</b> of the book includes more examples, and is updated
and clarified throughout. 
There is a new Chapter 14 entitled 'Examples and Practical Advice'.
There are new sections on such topics as Prediction Intervals, 
the Aggregation of Time Series, Time Series in Finance, 
and Discrete-valued Time Series.

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<li><b>Errata</b>: The only typo known in the second printing of 
the 6th edition is that the reference to Meinhold and Singpurwalla (1983) 
on page 323 should refer to volume 37 (not 32) of the American Statistician.
If you have a copy of the *first* printing of the 6th edition, be warned that
some graph files were accidentally corrupted as follows:
Fig 6.1: Some labels on the horizontal axis disappeared. 
The numbers should increase from -10 to +10 in steps of 2.
Strangely the minus signs have appeared.
Fig 6.3: In the right-hand graph, (b) is for beta=MINUS 1 (the minus
diappeared.)
Fig 6.4: (b) is for alpha=-0.7
Fig 7.3: the arrowheads below 'M large' and 'M small' disappeared.
Fig 8.1: the worst case. Nearly all the labels disappeared.
The vertical axes in both graphs should be labelled phi sub xy (omega), 
and the horizontal axes in both graphs should go from 0 to pi.
In the LH graph, the vertical axis should go from -4pi to zero in steps of pi.
In the RH graph, the vertical axis should go from -pi to +pi.
These graphs have been printed correctly in the second printing.
<li>If you spot any more misprints, please notify the author.

<li>There are very few typos left in recent printings of the 5th edn.
Page 98: In the line after equation (6.16), f*(omega) d(omega) is 
the proportion of variance - the d(omega) is missing.
Page 122: Bottom line. The first word 'form' should be moved 5 lines 
further up after 'put in the general'

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Most of the <b>data</b> used in the book are available below:

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<ul>
<li><a href="wheat.TS">Figure 1.1 -- Beveridge wheat price index data.</a> 
<li><a href="Recife.TS">Figure 1.2 -- Recife temperature data.</a> 
<li><a href="Prothero.TS">Figure 1.3 -- Engineering sales data.</a> 
<li><a href="sales.TS">Figure 5.2 in 6th edn -- Sales data.</a> 
<li><a href="sunspots.TS">Figure 11.1 -- Sunspots data.</a> 
<li><a href="yield.TS">Table D.2 in 5th edn and 14.2 in 6th edn -- Yield data.</a> 
<li><a href="airline.TS">Fig D.2 in 5th edn and 14.2 in 6th edn -- Box-Jenkins airline Passenger data.</a>
<li><a href="Grubb.TS">The British airline passenger data from Grubb and Mason (2001)</a> analysed in the 6th edn (Fig. 14.4) is also available from www.reading.ac.uk/~snsgrubb

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<li>The book <b>may be ordered from CRC Press</b> as follows:
<li>In the Americas, send an email to orders@crcpress.com
or telephone 1-800-272-7737 in USA or 1-561-994-0555 from outside USA.
<li>In the Rest of the World, you can make enquiries by sending
an email to enquiries@crcpress.com
or by telephoning (44 outside UK) or (0 inside UK) 20 8875 4370.
You can email your order in the UK 
to uk.tandf@thomsonpublishingservices.co.uk or, in the rest of the world, to
international.tandf@thomsonpublishingservices.co.uk or telephone the 
orders department at 01264 342926 (in UK) or 44 1264 34 3005 (in rest of world).
<li>Or you can order online at www.crcpress.com
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