1. PF Contest - Win "Conquering the Physics GRE" book! Click Here to Enter
    Dismiss Notice
Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

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.
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook