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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 14 15 24 ae pes 24 pe 2.6 27 28 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 xi xiii ewe 10 ul i iz 7 18 as ae 27 27 28 30 31 45 vi 4 41 42 43 44 45 46 47 48 a1 5.2 53 54 a2 56 61 6.2 63 64 65 WW q2 13 14 a2 16 af 18 81 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 49 49 53 56 59 59 61 63 65 66 66 68 16 7: 85 89 90, 92 92 92 96 98 = 102 105 105 106 109 113 121 122 = 127 135 136 136 140 147

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