Author | Brockwell, Peter J. author |
---|---|
Title | Introduction to Time Series and Forecasting [electronic resource] / by Peter J. Brockwell, Richard A. Davis |
Imprint | New York, NY : Springer New York : Imprint: Springer, 1996 |
Connect to | http://dx.doi.org/10.1007/978-1-4757-2526-1 |
Descript | XIII, 422 p. online resource |
1. Introduction -- 2. Stationary Processes -- 3. ARMA Models -- 4. Spectral Analysis -- 5. Modelling and Forecasting with ARMA Processes -- 6. Nonstationary and Seasonal Time Series Models -- 7. Multivariate Time Series -- 8. State-Space Models -- 9. Forecasting Techniques -- 10. Further Topics -- A. Random Variables and Probability Distributions -- A.1. Distribution Functions and Expectation -- A.2. Random Vectors -- A.3. The Multivariate Normal Distribution -- Problems -- B. Statistical Complements -- B.1. Least Squares Estimation -- B.1.1. The Gauss-Markov Theorem -- B.1.2. Generalized Least Squares -- B.2. Maximum Likelihood Estimation -- B.2.1. Properties of Maximum Likelihood Estimators -- B.3. Confidence Intervals -- B.3.1. Large-Sample Confidence Regions -- B.4. Hypothesis Testing -- B.4.1. Error Probabilities -- B.4.2. Large-Sample Tests Based on Confidence Regions -- C. Mean Square Convergence -- C.1. The Cauchy Criterion -- D. An ITSM Tutorial -- D.1. Getting Started -- D.1.1. Running PEST -- D.2. Preparing Your Data for Modelling -- D.2.1. Entering Data -- D.2.2. Filing Data -- D.2.3. Plotting Data -- D.2.4. Transforming Data -- D.3. Finding a Model for Your Data -- D.3.1. The Sample ACF and PACF -- D.3.2. Entering a Model -- D.3.3. Preliminary Estimation -- D.3.4. The AICC Statistic -- D.3.5. Changing Your Model -- D.3.6. Maximum Likelihood Estimation -- D.3.7. Optimization Results -- D.4. Testing Your Model -- D.4.1. Plotting the Residuals -- D.4.2. ACF/PACF of the Residuals -- D.4.3. Testing for Randomness of the Residuals -- D.5. Prediction -- D.5.1. Forecast Criteria -- D.5.2. Forecast Results -- D.5.3. Inverting Transformations -- D.6. Model Properties -- D.6.1. ARMA Models -- D.6.2. Model ACF, PACF -- D.6.3. Model Representations -- D.6.4. Generating Realizations of a Random Series -- D.6.5. Spectral Properties