本书通过案例讲述时间序列分析有关的概念和方法, 不仅介绍了ARMA模型、状态空间模型、Kalman滤波、单位根检验和GRACH模型等一元时间序列方法, 还介绍了很多最新的多元时间序列方法, 如线性协整、门限协整、VAR模型、Granger因果检验、神经网络模型、可加AR模型和谱估计等. 书中强调对真实的时间序列数据进行分析, 全程使用R软件分析了各个科学领域的实际数据, 还分析了金融和经济数据的例子. 本书例题用到的实际数据都可以从网上下载.-Book time series analysis of the concepts and methodologies through case about not only introduced the ARMA model, state space model, Kalman filtering, unit root test and GRACH models one yuan Time Series, also introduced a lot of new multivariate time series methods, such as linear cointegration, threshold cointegration, VAR model, Granger causality test, neural network models, additive AR and spectral estimation. the book emphasizes the real time series data analysis, full use of R software analyzes the various scientific fields the actual data, but also analyzes the examples of financial and economic data. the actual data used in the examples the book can be downloaded　the Internet.