TIME SERIES ANALYSIS: NONSTATIONARY AND NONINVERTIBLE DISTRIBUTION THEORY

Abstract

Professor Tanaka has written a useful and unique book. Despite the main part of the title, the book does not seek to be a generalist work but rather has specific goals in mind and is focused on a single aspect of the large area of time series. This is not a criticism; there have been a large number of books that provide overviews of the field or components (Banerjee, Dolado, Galbraith, and Hendry, 1993; Hamilton, 1994; Hatanaka, 1996; Fuller, 1996). In directing his attention at a single subtopic, Tanaka has been able to do an excellent job of both covering the area in enough detail for the reader to obtain a solid foundation as a user of and potential contributor to this field and also to take time to include an extensive development of the basic skills necessary for the reader to understand the material at this level.