A Very British Affair Six Britons and the Development of Time Series Analysis During the 20th Century

by Mills, Terence C.

• ISBN13: 9780230369115
• ISBN10: 0230369111
• Format: Hardcover
• Copyright: 2012-12-07
• Publisher: Palgrave Macmillan

Summary

This book develops the major themes of time series analysis from its beginnings in the early part of the 20th Century through to the present day. This is done by uniquely concentrating on the research of six distinguished British statisticians, Udny Yule, Maurice Kendall, James Durbin, George Box and Gwilym Jenkins, and Clive Granger, all of whose work is characterized by the British traits of pragmatism and the desire to solve practical problems of importance, accompanied by great technical skill and unusual integrity. Many of the key examples and graphics found in the seminal articles of these authors are recreated and their original voices are provided so that their readers can become acquainted with the contemporary views of the protagonists.This book should be of interest to anyone who desires an historical appreciation of the development of time series analysis and it also provides an essential background to current advanced textbooks on the subjects

Author Biography

Terence C Mills is a professor of Applied Statistics and Econometrics at the University of Loughborough. Among his previous publications are the Palgrave Handbook of Econometrics.

Table of Contents

Time Series Analysis and the British
Yule: The time-correlation Problem, Nonsense Correlations, Periodicity and Autoregressions
Kendall: Generalizations and Extensions of Stationary Autoregressive Models
Durbin: Inference, Estimation, Seasonal Adjustment and Structural Modelling
Jenkins: Inference in Autoregressive Models and Spectral Analysis
Box and Jenkins: Time Series Analysis, Forecasting and Control
Box and Jenkins: Modelling Seasonal Time Series and Transfer Function Analysis
Box and Jenkins: Developments Post-1970
Granger: Spectral Analysis, Causality, Forecasting, Model Interpretation and Non-linearity
Granger: Long Memory, Fractional Differencing, Spurious Regressions and Cointegration
The End of the Affair?