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Text book suggestion for stochastic process

  1. Jan 27, 2013 #1
    Hello. I plan on doing independent study on the Stochastic Process and time series models. I have already learned two semesters worth of statistics (Mathematical Statistics and Applications by Wackerly, Mendenhall and Scheaffer). And I have taken a semester of multiple regression models. I have used a program called R script in these classes. My question is, do I have enough knowledge to understand time series and/or the Stochastic Process. If not then what should I explore before hand? Also what are good text books for these topics? I would prefer a book with applications too, not just theory.

    Your input will help me significantly and for that I thank you. :)
     
  2. jcsd
  3. Jan 30, 2013 #2
    Three books on R used in the context of finance and statistics are:

    Cryer - Introductory Statistics with R
    Chan - Time Series -- Applications to Finance with R and S-Plus
    Zivot, Wang - Modelling Financial Time Series with S-Plus

    And some mathematical background:

    Brockwell, Davis - Introduction to Time Series and Forecasting

    I find the books fairly accessible.
     
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