Verfügbarkeit: The analysis of time series

The analysis of time series: an introduction

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Bibliographische Detailangaben
1. Verfasser:	Chatfield, Christopher 1941- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Boca Raton [u.a.] Chapman & Hall/CRC 2004
Ausgabe:	6. ed.
Schriftenreihe:	Texts in statistical science [59]
Schlagworte:	Tijdreeksen Time-series analysis Statistik Zeitreihenanalyse Einführung
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XIII, 333 S. graph. Darst.
ISBN:	1584883170

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MARC


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Datensatz im Suchindex

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adam_text	THE ANALYSIS OF TIME SERIES AN INTRODUCTION SIXTH EDITION CHRIS CHATF IELD CHAPMAN & HALL/CRC A CR.C PRESS COMPANY BOCA RATON LONDON NEW YORK WASHINGTON, D.C. CONTENTS PREFACE TO THE SIXTH EDITION XI ABBREVIATIONS AND NOTATION XIII 1 INTRODUCTION 1 1.1 SOME REPRESENTATIVE TIME SERIES 1 1.2 TERMINOLOGY 5 1.3 OBJECTIVES OF TIME-SERIES ANALYSIS 6 1.4 APPROACHES TO TIME-SERIES ANALYSIS 8 1.5 REVIEW OF BOOKS ON TIME SERIES 8 2 SIMPLE DESCRIPTIVE TECHNIQUES 11 2.1 TYPES OF VARIATION 11 2.2 STATIONARY TIME SERIES 13 2.3 THE TIME PLOT 13 2.4 TRANSFORMATIONS 14 2.5 ANALYSING SERIES THAT CONTAIN A TREND 15 2.6 ANALYSING SERIES THAT CONTAIN SEASONAL VARIATION 20 2.7 AUTOCORRELATION AND THE CORRELOGRAM 22 2.8 OTHER TESTS OF RANDOMNESS 28 2.9 HANDLING REAL DATA 29 3 SOME TIME-SERIES MODELS 33 3.1 STOCHASTIC PROCESSES AND THEIR PROPERTIES 33 3.2 STATIONARY PROCESSES 34 3.3 SOME PROPERTIES OF THE AUTOCORRELATION FUNCTION 36 3.4 SOME USEFUL MODELS 37 3.5 THE WOLD DECOMPOSITION THEOREM * 50 4 FITTING TIME-SERIES MODELS IN THE TIME DOMAIN 55 4.1 ESTIMATING AUTOCOVARIANCE AND AUTOCORRELATION FUNCTIONS 55 4.2 FITTING AN AUTOREGRESSIVE PROCESS 59 4.3 FITTING A MOVING AVERAGE PROCESS 62 4.4 ESTIMATING PARAMETERS OF AN ARMA MODEL 64 4.5 ESTIMATING PARAMETERS OF AN ARIMA MODEL 65 4.6 BOX-JENKINS SEASONAL ARIMA MODELS 66 VIII CONTENTS 4.7 RESIDUAL ANALYSIS 67 4.8 GENERAL REMARKS ON MODEL BUILDING 70 5 FORECASTING 73 5.1 INTRODUCTION 73 5.2 UNIVARIATE PROCEDURES 75 5.3 MULTIVARIATE PROCEDURES 87 5.4 COMPARATIVE REVIEW OF FORECASTING PROCEDURES 90 5.5 SOME EXAMPLES 98 5.6 PREDICTION THEORY 103 6 STATIONARY PROCESSES IN THE FREQUENCY DOMAIN 107 6.1 INTRODUCTION 107 6.2 THE SPECTRAL DISTRIBUTION FUNCTION 107 6.3 THE SPECTRAL DENSITY FUNCTION 111 6.4 THE SPECTRUM OF A CONTINUOUS PROCESS 113 6.5 DERIVATION OF SELECTED SPECTRA 114 7 SPECTRAL ANALYSIS 121 7.1 FOURIER ANALYSIS 121 7.2 A SIMPLE SINUSOIDAL MODEL 122 7.3 PERIODOGRAM ANALYSIS 126 7.4 SOME CONSISTENT ESTIMATION PROCEDURES 130 7.5 CONFIDENCE INTERVALS FOR THE SPECTRUM 139 7.6 COMPARISON OF DIFFERENT ESTIMATION PROCEDURES 140 7.7 ANALYSING A CONTINUOUS TIME SERIES 144 7.8 EXAMPLES AND DISCUSSION 146 8 BIVARIATE PROCESSES 155 8.1 CROSS-COVARIANCE AND CROSS-CORRELATION 155 8.2 THE CROSS-SPECTRUM 159 9 LINEAR SYSTEMS 169 9.1 INTRODUCTION 169 9.2 LINEAR SYSTEMS IN THE TIME DOMAIN 171 9.3 LINEAR SYSTEMS IN THE FREQUENCY DOMAIN 175 9.4 IDENTIFICATION OF LINEAR SYSTEMS 190 10 STATE-SPACE MODELS AND THE KALMAN FILTER 203 10.1 STATE-SPACE MODELS 203 10.2 THE KALMAN FILTER 211 11 NON-LINEAR MODELS 217 11.1 INTRODUCTION -217 11.2 SOME MODELS WITH NON-LINEAR STRUCTURE 222 CONTENTS IX 11.3 MODELS FOR CHANGING VARIANCE 227 11.4 NEURAL NETWORKS 230 11.5 CHAOS 235 11.6 CONCLUDING REMARKS 238 11.7 BIBLIOGRAPHY 240 12 MULTIVARIATE TIME-SERIES MODELLING 241 12.1 INTRODUCTION 241 12.2 SINGLE EQUATION MODELS 245 12.3 VECTOR AUTOREGRESSIVE MODELS 246 12.4 VECTOR ARMA MODELS 249 12.5 FITTING VAR AND VARMA MODELS 250 12.6 CO-INTEGRATION 252 12.7 BIBLIOGRAPHY 253 13 SOME MORE ADVANCED TOPICS 255 13.1 MODEL IDENTIFICATION TOOLS 255 13.2 MODELLING NON-STATIONARY SERIES 257 13.3 FRACTIONAL DIFFERENCING AND LONG-MEMORY MODELS 260 13.4 TESTING FOR UNIT ROOTS 262 13.5 MODEL UNCERTAINTY 264 13.6 CONTROL THEORY 266 13.7 MISCELLANEA 268 14 EXAMPLES AND PRACTICAL ADVICE 277 14.1 GENERAL COMMENTS 277 14.2 COMPUTER SOFTWARE 278 14.3 EXAMPLES 280 14.4 MORE ON THE TIME PLOT 290 14.5 CONCLUDING REMARKS 292 14.6 DATA SOURCES AND EXERCISES 292 A FOURIER, LAPLACE AND Z-TRANSFORMS 295 B DIRAC DELTA FUNCTION 299 C COVARIANCE AND CORRELATION , 301 D SOME MINITAB AND S-PLUS COMMANDS 303 ANSWERS TO EXERCISES 307 REFERENCES 315 INDEX 329
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author	Chatfield, Christopher 1941-
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discipline	Mathematik Wirtschaftswissenschaften
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spellingShingle	Chatfield, Christopher 1941- The analysis of time series an introduction Texts in statistical science Tijdreeksen gtt Time-series analysis Statistik (DE-588)4056995-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd
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title	The analysis of time series an introduction
title_auth	The analysis of time series an introduction
title_exact_search	The analysis of time series an introduction
title_full	The analysis of time series an introduction Chris Chatfield
title_fullStr	The analysis of time series an introduction Chris Chatfield
title_full_unstemmed	The analysis of time series an introduction Chris Chatfield
title_short	The analysis of time series
title_sort	the analysis of time series an introduction
title_sub	an introduction
topic	Tijdreeksen gtt Time-series analysis Statistik (DE-588)4056995-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd
topic_facet	Tijdreeksen Time-series analysis Statistik Zeitreihenanalyse Einführung
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Inhaltsverzeichnis

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