ITSM for Windows: a user's guide to time series modelling and forecasting
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York u.a.
Springer
1994
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 118 S. graph. Darst. 2 Disketten (3,5") |
| ISBN: | 3540943374 0387943374 |
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MARC
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| 245 | 1 | 0 | |a ITSM for Windows |b a user's guide to time series modelling and forecasting |c Peter J. Brockwell ; Richard A. Davis |
| 264 | 1 | |a New York u.a. |b Springer |c 1994 | |
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Record in the Search Index
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Contents
Preface v
1 Introduction 1
1.1 The Programs 1
1.2 System Requirements 2
1.2.1 Installation 3
1.2.2 Running ITSM 7
1.2.3 Printing Graphs 7
1.3 Creating Data Files 8
2 PEST 9
2.1 Getting Started 9
2.1.1 Running PEST 9
2.1.2 PEST Tutorial 10
2.2 Preparing Your Data for Modelling 10
2.2.1 Entering Data 11
2.2.2 Filing Data 12
2.2.3 Plotting Data 12
2.2.4 Transforming Data 13
2.3 Finding a Model for Your Data 19
2.3.1 The ACF and PACF 19
2.3.2 Entering a Model 21
2.3.3 Preliminary Parameter Estimation 22
2.3.4 The AICC Statistic 24
2.3.5 Changing Your Model 26
2.3.6 Parameter Estimation; the Gaussian Likelihood . 27
2.3.7 Optimization Results 31
2.4 Testing Your Model 34
2.4.1 Plotting the Residuals 36
2.4.2 ACF/PACF of the Residuals 36
2.4.3 Testing for Randomness of the Residuals 37
2.5 Prediction 41
2.5.1 Forecast Criteria 41
viii Contents
2.5.2 Forecast Results 41
2.5.3 Inverting Transformations 42
2.6 Model Properties 44
2.6.1 ARMA Models 45
2.6.2 Model ACF, PACF .'.'.'.'.' .' .' .' .' .' .' .' .' .' 46
2.6.3 Model Representations 47
2.6.4 Generating Realizations of a Random Series 49
2.6.5 Model Spectral Density 50
2.7 Nonparametric Spectral Estimation . . . . . . . . . 53
2.7.1 Plotting the Periodogram 53
2.7.2 Plotting the Cumulative Periodogram 55
2.7.3 Fisher's Test 56
2.7.4 Smoothing to Estimate the Spectral Density . . . . 57
3 SMOOTH 60
3.1 Introduction gn
3.2 Moving Average Smoothing . . . . 61
3.3 Exponential Smoothing 62
3.4 Removing High Frequency Components . . . . . . . . . . . 64
4 SPEC fi6
4.1 Introduction g6
4.2 Bivariate Spectral Analysis 66
4.2.1 Estimating the Spectral Density of Each Series' .' .' .' 67
4.2.2 Estimating the Absolute Coherency Spectrum . 69
4.2.3 Estimating the Phase Spectrum 70
5 TRANS
5.1 Introduction 72
5.2 Computing Cross Correlations 72
5.3 An Overview of Transfer Function Modelling" .' 74
5.4 fitting a Preliminary Transfer Function Model . . 76
5.5 Calculating Residuals from a Transfer Function Model . 78
5.b LS Estimation and Prediction with Transfer Function Models 80
6 ARVEC g6
6.1 Introduction 86
6.1.1 Multivariate Autoregression .'.'.' 87
6.2 Model Selection with the AICC Criterion . 89
b.3 Forecasting with the Fitted Model .'.'.'.'.'.'.' 89
7 BURG
7.1 Introduction
Contents ix
8 ARAR 95
8.1 Introduction 95
8.1.1 Memory Shortening 95
8.1.2 Fitting a Subset Autoregression 97
8.2 Running the Program 98
9 LONGMEM 101
9.1 Introduction 101
9.2 Parameter Estimation 102
9.3 Prediction 104
9.4 Simulation 105
9.5 Plotting the Model and Sample ACVF 106
Appendix A: The Screen Editor WORD6 108
A.I Basic Editing 108
A.2 Alternate Keys 108
A.3 Printing a File 109
A.4 Merging Two or More Files 109
A.5 Margins and Left and Centre Justification 109
A.6 Tab Settings 110
A.7 Block Commands 110
A.8 Searching Ill
A.9 Special Characters Ill
A. 10 Function Keys 112
A.ll Editing Information 112
Appendix B: Data Sets 113
Index 116 |
| any_adam_object | 1 |
| author | Brockwell, Peter J. 1937-2023 Davis, Richard A. 1952- |
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| author_sort | Brockwell, Peter J. 1937-2023 |
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| building | Verbundindex |
| bvnumber | BV009701081 |
| classification_rvk | QH 237 ST 281 |
| ctrlnum | (OCoLC)632564905 (DE-599)BVBBV009701081 |
| discipline | Informatik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV009701081 |
| illustrated | Illustrated |
| indexdate | 2024-08-09T00:04:54Z |
| institution | BVB |
| isbn | 3540943374 0387943374 |
| language | English |
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| physical | IX, 118 S. graph. Darst. 2 Disketten (3,5") |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Springer |
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| spelling | Brockwell, Peter J. 1937-2023 Verfasser (DE-588)171133188 aut ITSM for Windows a user's guide to time series modelling and forecasting Peter J. Brockwell ; Richard A. Davis New York u.a. Springer 1994 IX, 118 S. graph. Darst. 2 Disketten (3,5") txt rdacontent n rdamedia nc rdacarrier ITSM für WINDOWS (DE-588)4357342-3 gnd rswk-swf WINDOWS Programm (DE-588)4192183-5 gnd rswk-swf ITSM (DE-588)4258785-2 gnd rswk-swf (DE-588)4151278-9 Einführung gnd-content ITSM (DE-588)4258785-2 s WINDOWS Programm (DE-588)4192183-5 s DE-604 ITSM für WINDOWS (DE-588)4357342-3 s Davis, Richard A. 1952- Verfasser (DE-588)173920608 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006417305&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brockwell, Peter J. 1937-2023 Davis, Richard A. 1952- ITSM for Windows a user's guide to time series modelling and forecasting ITSM für WINDOWS (DE-588)4357342-3 gnd WINDOWS Programm (DE-588)4192183-5 gnd ITSM (DE-588)4258785-2 gnd |
| subject_GND | (DE-588)4357342-3 (DE-588)4192183-5 (DE-588)4258785-2 (DE-588)4151278-9 |
| title | ITSM for Windows a user's guide to time series modelling and forecasting |
| title_auth | ITSM for Windows a user's guide to time series modelling and forecasting |
| title_exact_search | ITSM for Windows a user's guide to time series modelling and forecasting |
| title_full | ITSM for Windows a user's guide to time series modelling and forecasting Peter J. Brockwell ; Richard A. Davis |
| title_fullStr | ITSM for Windows a user's guide to time series modelling and forecasting Peter J. Brockwell ; Richard A. Davis |
| title_full_unstemmed | ITSM for Windows a user's guide to time series modelling and forecasting Peter J. Brockwell ; Richard A. Davis |
| title_short | ITSM for Windows |
| title_sort | itsm for windows a user s guide to time series modelling and forecasting |
| title_sub | a user's guide to time series modelling and forecasting |
| topic | ITSM für WINDOWS (DE-588)4357342-3 gnd WINDOWS Programm (DE-588)4192183-5 gnd ITSM (DE-588)4258785-2 gnd |
| topic_facet | ITSM für WINDOWS WINDOWS Programm ITSM Einführung |
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