Text for Stochastic Processes and Time Series

[Gavin L]

Hi all,

I'm starting a 3rd year course on Stochastic Processes and Time Series, however there is no recommended text to accompany the lecture notes. Can anyone recommend a solid text which I can refer to for these topics?

Thanks!

 

[mhy]

What is the level of the course? The text we use in CMU MSCF Stochastic Calculus classes is Shreve's Stochastic Calculus for Finance series. The Time Series textbook is Statistics and Data Analysis for Financial Engineering which has a lot of R examples.

 

[Gavin L]

Well it's undergraduate...last year of an undergraduate degree. I have read through Shreve, not exactly relevant. We don't have financial applications in this course.

 

[IntoDarkness]

op probably means poisson process and markov chain type of stochastic process

 

[Gavin L]

Yes that's correct.

 

[yetanotherquant]

Well, there are plenty of books.
But I would not mix up Stochastic Processes and Time Series.

The former is used to be pretty formal and often measure-theoretic (and it is good so).
My first book on continuous stochastic process was Shreve, vol II.
At undergraduate level you may start with very basic things like discrete Markov chains.
If it is the case, I would recommend O. Häggström: Finite Markov Chains and Algorithmic Applications. Cambridge University Press, 2002

The latter is more an art than science. Well, at least in German universities the time series courses are often very theoretic as well but IMO this is suboptimal. Thus, a good book on time series must provide a lot of practical exercises with R.

I also recommend you to have a look at my book: http://www.yetanotherquant.com
R-code is available for free. You will not find any advanced models but you will see how the (very basic) theory is applied in practice.

 

[Gavin L]

Yes, the course is split into two parts, with Time Series having several lab exercises with R.

Thanks for your recommendations!