THE
ANALYSIS
OF
TIME SERIES
AN INTRODUCTION
Fifth edition
Chris Chatfield
Reader in Statistics
The University of Bath
United Kingdom
CHAPMAN & HALL/CRC
Boca Raton London New York Washington, D.C.Contents
Aa:
i
a3
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15
24
ae
pes
24
pe
2.6
27
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3.
ae
a3
oa
3.5
Preface to fifth edition
Abbreviations and notation
Introduction
Some representative time series
Terminology
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 which contain a trend
Analysing series which contain seasonal variation
Autocorrelation
Other tests of randomness
Exercises
Probability models for time series
Stochastic processes
Stationary processes
The autocorrelation function
Some useful stochastic processes
The Wold decomposition theorem
Exercises
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8.2
Contents
Estimation in the time domain
Estimating the autocovariance and autocorrelation functions
Fitting an autoregressive process
Fitting a moving average process
Estimating the parameters of an ARMA model
Estimating the parameters of an ARIMA model
The Box-Jenkins seasonal (SARIMA) model
Residual analysis
General remarks on model building
Exercises
Forecasting
Introduction
Univariate procedures
Multivariate procedures
A comparative review of forecasting procedures
Some examples
Prediction theory
Exercises
Stationary processes in the frequency domain
Introduction
The spectral distribution function
The spectral density function
The spectrum of a continuous process
Derivation of selected spectra
Exercises
Spectral analysis
Fourier analysis
A simple sinusoidal model
Periodogram analysis
Spectral analysis: some consistent estimation procedures
Confidence intervals for the spectrum
‘A comparison of different estimation procedures
Analysing a continuous time series
Discussion
Exercises
Bivariate processes
Cross-covariance and cross-correlation functions
The cross-spectrum
Exercises
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