The book
Here you can download the book as pdf (version: 2012.August.01, 2.6 MB).
Table of Contents
- Elements of Exploratory Time Series Analysis
- The Additive Model for a Time Series
- Linear Filtering of Time Series
- Autocovariances and Autocorrelations
- Exercises
- Models of Time Series
- Linear Filters and Stochastic Processes
- Moving Averages and Autoregressive Processes
- The Box–Jenkins Program
- Exercises
- State-Space Models
- The State-Space Representation
- The Kalman-Filter
- Exercises
- The Frequency Domain Approach of a Time Series
- Least Squares Approach with Known Frequencies
- The Periodogram
- Exercises
- The Spectrum of a Stationary Process
- Characterizations of Autocovariance Functions
- Linear Filters and Frequencies
- Spectral Density of an ARMA-Process
- Exercises
- Statistical Analysis in the Frequency Domain
- Testing for a White Noise
- Estimating Spectral Densities
- Exercises
- The Box–Jenkins Program: A Case Study
- Partial Correlation and Levinson–Durbin Recursion
- Asymptotic Normality of Partial Autocorrelation Estimator
- Asymptotic Normality of Autocorrelation Estimator
- First Examinations
- Order Selection
- Diagnostic Check
- Forecasting
- Exercises
- Bibliography
- Index
- SAS-Index
- GNU Free Documentation Licence