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The Analysis of Time Series: An Introduction, Sixth Edition (Chapman & Hall/CRC Texts in Statistical Science) [Paperback]

Chris Chatfield
4.2 out of 5 stars  See all reviews (4 customer reviews)
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Book Description

29 July 2003 1584883170 978-1584883173 6

Since 1975, The Analysis of Time Series: An Introduction has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, bestselling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented interesting new data sets.

The sixth edition is no exception. It provides an accessible, comprehensive introduction to the theory and practice of time series analysis. The treatment covers a wide range of topics, including ARIMA probability models, forecasting methods, spectral analysis, linear systems, state-space models, and the Kalman filter. It also addresses nonlinear, multivariate, and long-memory models. The author has carefully updated each chapter, added new discussions, incorporated new datasets, and made those datasets available for download from A free online appendix on time series analysis using R can be accessed at

Highlights of the Sixth Edition:

  • A new section on handling real data
  • New discussion on prediction intervals
  • A completely revised and restructured chapter on more advanced topics, with new material on the aggregation of time series, analyzing time series in finance, and discrete-valued time series
  • A new chapter of examples and practical advice
  • Thorough updates and revisions throughout the text that reflect recent developments and dramatic changes in computing practices over the last few years

The analysis of time series can be a difficult topic, but as this book has demonstrated for two-and-a-half decades, it does not have to be daunting. The accessibility, polished presentation, and broad coverage of The Analysis of Time Series make it simply the best introduction to the subject available.

Frequently Bought Together

The Analysis of Time Series: An Introduction, Sixth Edition (Chapman & Hall/CRC Texts in Statistical Science) + Introduction to Time Series and Forecasting (Springer Texts in Statistics) + Time Series: Theory and Methods (Springer Series in Statistics)
Price For All Three: £147.54

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Product details

  • Paperback: 352 pages
  • Publisher: Chapman and Hall/CRC; 6 edition (29 July 2003)
  • Language: English
  • ISBN-10: 1584883170
  • ISBN-13: 978-1584883173
  • Product Dimensions: 25 x 14.2 x 1.9 cm
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (4 customer reviews)
  • Amazon Bestsellers Rank: 259,720 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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"quite possibly the most accessible introductory text on the subject. Chatfield's is most highly recommended whether as a teaching text or one for self-instruction." - Journal of the Royal Statistical Society, Issue 167 (4) "This textbook is well-known for everyone who is interested in time series analysisa substantial revision has taken placeit is an excellent textbook for undergraduate and postgraduate students, and can also be used by research workers as a reference or for self-tuition." -Zentralblatt MATH 1050 ..." there is no question that this text is the most accessible text on time series in existence..." -Dennis Cox, Rice University "The author's conversational style helps the reader to understand inherently difficult topics." - Journal of Quality Technology "This well-written book provides an excellent nontechnical introduction..." - Journal of the American Statistical Association ..."the only book I would recommend to readers for a safe, practically minded, non-mathematical introduction to a fairly broad cross section of topics..." - Neville Davies, Nottingham Trent University

Inside This Book (Learn More)
First Sentence
A time series is a collection of observations made sequentially through time. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index
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Customer Reviews

4.2 out of 5 stars
4.2 out of 5 stars
Most Helpful Customer Reviews
6 of 6 people found the following review helpful
5.0 out of 5 stars Excellent 7 Jun 2008
I simply don't understand how Chatfield manages to get so much into such a slender textbook. It is well explained, well laid out, flowing and very complete. Although for me this book has largely been replaced with more advanced specialised books, it still acts as a reference point, providing a simple overview before diving in to journals for a closer look at certain methods. It certainly isn't applied, and for those that like a more "hands-on" approach you might want to buy some kind of "Statistics in R" type book at the same time.
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3 of 3 people found the following review helpful
The time series analysis in this book is simply outstanding. Not too advanced and not too simple. More of an undergrad level book. My only problem is the small font used. It makes it hard to read. Otherwise good content.
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5.0 out of 5 stars Superb Text! 9 Feb 2014
Format:Paperback|Verified Purchase
A really good intro to the subject. I am a mechanical engineer and needed to apply time-series analysis to some of my data an I'm really pleased I bought this book.

Well recommended!
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3.0 out of 5 stars good book but Kindle version has problems 4 Feb 2011
Format:Kindle Edition|Verified Purchase
In the Kindle version many words are joined together. This gives the impression it was poorly OCR'd from the paper version.
I would give the paper version 5 stars. But I'm not sure how reliable the formulas are in the Kindle version, so giving that 3 stars.
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Most Helpful Customer Reviews on (beta) 3.2 out of 5 stars  4 reviews
1 of 1 people found the following review helpful
5.0 out of 5 stars Also a reference 19 May 2013
By Amazon Customer - Published on
This is the second book (after Bloomfield), one must and should read in time series. Bloomfield and Chatfield are the true references of the last decades of the XX and beginning of the XXI centuries.
5 of 8 people found the following review helpful
3.0 out of 5 stars introduction rather than explanation 7 Sep 2007
By R. Kocer - Published on
This book should be considered as "only and pure" introduction to the subject. It suffers from the basic problem of social science oriented writing in mathematical issues: while trying to keep out "complicated details" it mystifies and obscures the subject and leaves out a lot of interesting topics. It would have been better to find ways to explain mathematical theory behind the concepts rather than frightening the readers by describing some issues as "deep waters". However, to be fair it is essential to say that the book with its concise manner and modest ambition still deserves some credit
10 of 16 people found the following review helpful
4.0 out of 5 stars Excellent introduction to time series. 29 July 2005
By Roy Marsten - Published on
Format:Paperback|Verified Purchase
I have read the entire book, and I am quite satisfied with it. I think it is an excellent introduction for anyone with the requisite background in calculus, probability, and statistics.
1 of 11 people found the following review helpful
1.0 out of 5 stars Too basic but complex 5 July 2007
By Polux Ernesto Diaz Ruiz - Published on
It is amazing how complex is this book without the requiered formality for the field. As a very first approach, could be useful, but definitly, Tsai book is better.
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