Books like Hidden Markov models for time series by W. Zucchini

The Elements of Statistical Learning explains key statistical methods that underlie modern machine learning, data mining, and bioinformatics, covering supervised and unsupervised learning techniques such as classification trees, neural networks, and support vector machines.

Bridging classical models and modern topics, the _Fifth Edition_ of _Time Series Analysis: Forecasting and Control_ maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the _Fifth Edition_ continues to serve as one of the most influential and prominent works on the subject. _Time Series Analysis: Forecasting and Control_, _Fifth Edition_ provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: * A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series * An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models * Numerous examples drawn from finance, economics, engineering, and other related fields * The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting * Updates to literature references throughout and new end-of-chapter exercises * Streamlined chapter introductions and revisions that update and enhance the exposition _Time Series Analysis: Forecasting and Control, Fifth Edition_ is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.

"Time Series Analysis and Its Applications presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging or monitoring a nuclear test ban treaty. The book is designed to be useful as a text for graduate-level students in the physical, biological, and social sciences and as a graduate-level text in statistics. Some parts may also serve as an undergraduate introductory course.". "Theory and methodology are separated to allow presentations on different levels. Material from the earlier 1988 Prentice-Hall text Applied Statistical Time Series Analysis has been updated by adding modern developments involving categorical time series analysis and the spectral envelope, multivariate spectral methods, long memory series, nonlinear models, longitudinal data analysis, resampling techniques, ARCH models, stochastic volatility, wavelets, and Monte Carlo Markov chain integration methods. These odd to a classical coverage of time series regression, univariate and multivariate ARIMA models, spectral analysis, and state-space models. The book is complemented by offering accessibility, via the World Wide Web, to the data and an exploratory time series analysis program ASTSA for Windows that can be downloaded as Freeware."--BOOK JACKET.

A practical guide to time‑series theory and forecasting, emphasizing model construction and data analysis for readers with a foundation in calculus, matrix algebra, and elementary statistics.