Электронная книга: George E. P. Box «Time Series Analysis. Forecasting and Control»

Time Series Analysis. Forecasting and Control

Praise for the Fourth Edition“The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control." – Mathematical Reviews Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject. Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models Numerous examples drawn from finance, economics, engineering, and other related fields The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting Updates to literature references throughout and new end-of-chapter exercises Streamlined chapter introductions and revisions that update and enhance the exposition Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.

Издательство: "John Wiley&Sons Limited"

ISBN: 9781118674925

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George E. P. Box

Infobox Scientist


image_width = 150px
name = George E. P. Box
box_width =
birth_date = 18 October 1919
birth_place = Gravesend, Kent, England
death_date =
death_place =
residence = United Kingdom, United States
citizenship =
nationality =
ethnicity =
field = Statistician
work_institutions = ICI, Princeton University, University of Wisconsin-Madison
alma_mater = University College London
doctoral_advisor = Egon Pearson, H. O. Hartley
doctoral_students =
known_for = time series analysis, experimental design, Bayesian inference
influences =
influenced =
prizes = Shewhart Medal (1968), Wilks Memorial Award (1972), R. A. Fisher Lectureship (1974), Guy Medal in Gold (1993)
footnotes =

George Edward Pelham Box (18 October, 1919 – ) is one of the most influential statisticians of the 20th century and a pioneer in the areas of quality control, time series analysis, design of experiments and Bayesian inference.

He was born in Gravesend, Kent, England and originally trained as a chemist. During World War II, he worked on biochemical experiments on the effect of poison gases on small animals for the British Army. He needed statistical advice to analyze the results of his experiments but could not find a statistician who could give him guidance, so he taught himself statistics from available texts. After the war, he enrolled at University College London and obtained a bachelor's degree in mathematics and statistics. He received a Ph.D. from the University of London in 1953.

From 1948 to 1956, Box worked as a statistician for Imperial Chemical Industries (ICI). While at ICI, he took a leave of absence for a year and served as a visiting professor at the University of North Carolina at Chapel Hill. He later went to Princeton University where he served as Director of the Statistical Research Group.

In 1960, Box moved to the University of Wisconsin-Madison to create the Department of Statistics. He was appointed Vilas Research Professor of Statistics (the highest honor accorded to any faculty member at the University of Wisconsin-Madison) in 1980. George Box and Bill Hunter co-founded the Center for Quality and Productivity Improvement at the University of Wisconsin-Madison in 1984. Box officially retired in 1992, becoming an Emeritus Professor.

Throughout his career, George Box has written numerous research papers and published many books. His most important books include "Statistics for Experimenters" (1978), "Time Series Analysis: Forecasting and Control" (1979, with Gwilym Jenkins) and "Bayesian Inference in Statistical Analysis." (1973, with George C. Tiao). Today, his name is associated with important results in statistics such as Box-Jenkins models, Box-Cox transformations, Box-Behnken designs and numerous others.

He served as President of the American Statistical Association in 1978 and of the Institute of Mathematical Statistics in 1979. He received the Shewhart Medal from the American Society for Quality Control in 1968, the Wilks Memorial Award from the American Statistical Association in 1972, the R. A. Fisher Lectureship in 1974, and the Guy Medal in Gold from the Royal Statistical Society in 1993. He was elected a member of the American Academy of Arts and Sciences in 1974 and a Fellow of the Royal Society in 1979.

The often quoted phrase, "Essentially, all models are wrong, but some are useful", is attributed to George Box. [Box, George E. P.; Norman R. Draper (1987). Empirical Model-Building and Response Surfaces, p. 424, Wiley. ISBN 0471810339. ]

Box married Joan Fisher, second of Ronald Fisher's five daughters. In 1978, Joan Fisher Box published a very well-received biography of her father. [Joan Fisher Box (1978) "R. A. Fisher: The Life of a Scientist" [http://www-groups.dcs.st-and.ac.uk/~history/Extras/Fisher_Life.html Preface] ] He supervized Lars Pallesen, who was appointed rector (president) of the Technical University of Denmark in 2007. [Cite web
url = http://www.dgo.dk/apps/pbcs.dll/article?AID=/20070920/NAVNE/709250017
title = Rektor fylder 60 år den 20. september
language = Danish
year = 2007
]

References

* Cite journal
author = Morris H. DeGroot
title = A Conversation with George Box
journal = Statistical Science
volume = 2
issue = 3
month = August
year = 1987
pages = 239–258
url=http://links.jstor.org/sici?sici=0883-4237%28198708%292%3A3%3C239%3AACWGB%3E2.0.CO%3B2-3
doi = 10.1214/ss/1177013223

External links

* [http://www.itl.nist.gov/div898/handbook/pri/section3/pri3362.htm Box-Behnken designs] from a [http://www.itl.nist.gov/div898/handbook/ handbook on engineering statistics] at NIST
* [http://www.engr.wisc.edu/ie/faculty/box_george.html University of Wisconsin-Madison home page]
* [http://www.asq.org/about-asq/who-we-are/bio_box.html ASQ: George E.P. Box Accomplishments in statistics]
* [http://curiouscat.net/library/georgebox.cfm Articles and Reports by George Box]
* [http://www.engr.wisc.edu/centers/cqpi/ Center for Quality and Productivity Improvement]
* [http://halweb.uc3m.es/esp/Personal/personas/dpena/articles/boxIJFinter4.PDF Interview for the International Journal of Forecasting]
* [http://www.royalsoc.ac.uk/DServe/dserve.exe?dsqIni=Dserve.ini&dsqApp=Archive&dsqCmd=Show.tcl&dsqSearch=RefNo='EC/1985/04'&dsqDb=Catalog Royal Society citation]
* [http://www.williamghunter.net/statisticsforexperimenters/ Statistics for Experimenters - Second Edition, 2005 by George Box, William G. Hunter and Stuart Hunter]
* [http://www.engr.wisc.edu/centers/cqpi/ Center for Quality and Productivity Improvement at the University of Wisconsin-Madison] (Several publications of George Box and his colleagues are available on the center's website.)For Box's PhD students see
*MathGenealogy|id=42226

Источник: George E. P. Box

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