The analysis of time series: an introduction/
Christopher Chatfield
- 6th ed.
- New York: Chapman, 2004.
- xiii, 333 p. : ill. ; 24 cm.
- (Texts in statistical science) .
Some Representative Time Series -- Objectives of Time-Series Analysis -- Approaches to Time-Series Analysis -- Review of Books on Time Series -- Simple Descriptive Techniques -- Types of Variation -- Stationary Time Series -- The Time Plot -- Transformations -- Analysing Series that Contain a Trend -- Analysing Series that Contain Seasonal Variation -- Autocorrelation and the Correlogram -- Other Tests of Randomness -- Handling Real Data -- Some Time-Series Models -- Stochastic Processes and Their Properties -- Stationary Processes -- Some Properties of the Autocorrelation Function -- Some Useful Models -- The Wold Decomposition Theorem -- Fitting Time-Series Models in the Time Domain -- Estimating Autocovariance and Autocorrelation Functions -- Fitting an Autoregressive Process -- Fitting a Moving Average Process -- Estimating Parameters of an ARMA Model -- Estimating Parameters of an ARIMA Model -- Box-Jenkins Seasonal ARIMA Models -- Residual Analysis -- General Remarks on Model Building -- Forecasting -- Univariate Procedures -- Multivariate Procedures -- Comparative Review of Forecasting Procedures -- Prediction Theory -- Stationary Processes in the Frequency Domain -- The Spectral Distribution Function -- The Spectral Density Function -- The Spectrum of a Continuous Process -- Derivation of Selected Spectra -- Spectral Analysis -- Fourier Analysis -- A Simple Sinusoidal Model -- Periodogram Analysis -- Some Consistent Estimation Procedures -- Confidence Intervals for the Spectrum.