Text book suggestion for stochastic process

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SUMMARY

The discussion centers on independent study in Stochastic Processes and time series models, with a focus on practical applications. The participant has a solid foundation in statistics, having completed courses in Mathematical Statistics and multiple regression models, and has experience using R script. Recommended textbooks include "Introductory Statistics with R" by Cryer, "Time Series -- Applications to Finance with R and S-Plus" by Chan, and "Modelling Financial Time Series with S-Plus" by Zivot and Wang, along with "Introduction to Time Series and Forecasting" by Brockwell and Davis for mathematical background.

PREREQUISITES
  • Understanding of Mathematical Statistics
  • Familiarity with multiple regression models
  • Experience using R script
  • Basic knowledge of time series analysis
NEXT STEPS
  • Explore advanced R programming techniques for statistical analysis
  • Study the application of Stochastic Processes in finance
  • Learn about time series forecasting methods
  • Investigate additional resources on time series models and their applications
USEFUL FOR

Students and professionals in statistics, finance, and data analysis who are looking to deepen their understanding of Stochastic Processes and time series models, particularly those interested in practical applications using R.

happysauce
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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 textbooks 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. :)
 
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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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