Time series analysis: with applications in R
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
Springer
2009
|
| Edition: | 2. ed., corr. at 3. printing |
| Series: | Springer texts in statistics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 491 S. Ill., graph. Darst. |
| ISBN: | 0387759581 9780387759586 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035836514 | ||
| 003 | DE-604 | ||
| 005 | 20180328 | ||
| 007 | t | ||
| 008 | 091120s2009 gw ad|| |||| 00||| eng d | ||
| 015 | |a 08,N04,1346 |2 dnb | ||
| 020 | |a 0387759581 |9 0-387-75958-1 | ||
| 020 | |a 9780387759586 |c Gb. : EUR 74.85 (freier Pr.), sfr 122.00 (freier Pr.) |9 978-0-387-75958-6 | ||
| 024 | 3 | |a 9780387759586 | |
| 028 | 5 | 2 | |a 11965534 |
| 035 | |a (OCoLC)635012021 | ||
| 035 | |a (DE-599)BVBBV035836514 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE-BE | ||
| 049 | |a DE-703 |a DE-29T |a DE-91G |a DE-20 |a DE-384 | ||
| 084 | |a QH 237 |0 (DE-625)141552: |2 rvk | ||
| 084 | |a SK 845 |0 (DE-625)143262: |2 rvk | ||
| 084 | |a DAT 307f |2 stub | ||
| 084 | |a MAT 634f |2 stub | ||
| 084 | |a 510 |2 sdnb | ||
| 100 | 1 | |a Cryer, Jonathan D. |e Verfasser |0 (DE-588)12999684X |4 aut | |
| 245 | 1 | 0 | |a Time series analysis |b with applications in R |c Jonathan D. Cryer ; Kung-Sik Chan |
| 250 | |a 2. ed., corr. at 3. printing | ||
| 264 | 1 | |a New York, NY [u.a.] |b Springer |c 2009 | |
| 300 | |a XIII, 491 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Springer texts in statistics | |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a R |g Programm |0 (DE-588)4705956-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 0 | 1 | |a R |g Programm |0 (DE-588)4705956-4 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 700 | 1 | |a Chan, Kung-Sik |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-0-387-75959-3 |
| 856 | 4 | 2 | |m Digitalisierung UB Bayreuth |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018694929&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-018694929 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Record in the Search Index
| _version_ | 1804140802110128128 |
|---|---|
| adam_text | Contents
Chapter
1
Introduction
..............................
ι
1.1
Examples of Time Series
............................1
1.2
A Model-Building Strategy
...........................8
1.3
Time Series Plots in History
..........................8
1.4
An Overview of the Book
............................9
Exercises
............................................10
Chapter
2
Fundamental Concepts
..................11
2.1
Time Series and Stochastic Processes
................11
2.2
Means, Variances, and Covariances
..................11
2.3
Stationarity
......................................16
2.4
Summary
.......................................19
Exercises
............................................19
Appendix A: Expectation, Variance, Covariance, and Correlation
. 24
Chapter
3
Trends
...................................27
3.1
Deterministic Versus Stochastic Trends
................27
3.2
Estimation of a Constant Mean
......................28
3.3
Regression Methods
...............................30
3.4
Reliability and Efficiency of Regression Estimates
........36
3.5
Interpreting Regression Output
......................40
3.6
Residual Analysis
.................................42
3.7
Summary
.......................................50
Exercises
............................................50
Chapter
4
Models for Stationary Time Series
.....55
4.1
General Linear Processes
..........................55
4.2
Moving Average Processes
.........................57
4.3
Autoregressive
Processes
..........................66
4.4
The Mixed
Autoregressive
Moving Average Model
........77
4.5
Invertibility
.......................................79
4.6
Summary
.......................................80
Exercises
............................................81
Appendix B: The Stationarity Region for an AR(2) Process
.....84
Appendix C: The Autocorrelation Function for ARMA(p,g)
.......85
IX
Contents
Chapter
5
Models for Nonstationary Time Series
.87
5.1
Stationarity Through Differencing
.....................88
5.2
ARIMA Models
....................................92
5.3
Constant Terms in ARIMA Models
.....................97
5.4
Other Transformations
..............................98
5.5
Summary
.......................................102
Exercises
............................................103
Appendix D: The Backshift Operator
.......................106
Chapter
6
Model Specification
.....................109
6.1
Properties of the Sample Autocorrelation Function
.......109
6.2
The Partial and Extended Autocorrelation Functions
.....112
6.3
Specification of Some Simulated Time Series
...........117
6.4
Nonstationarity
...................................125
6.5
Other Specification Methods
........................130
6.6
Specification of Some Actual Time Series
..............133
6.7
Summary
.......................................141
Exercises
............................................141
Chapter
7
Parameter Estimation
...................149
7.1
The Method of Moments
...........................149
7.2
Least Squares Estimation
..........................154
7.3
Maximum Likelihood and Unconditional Least Squares
... 158
7.4
Properties of the Estimates
.........................160
7.5
Illustrations of Parameter Estimation
..................163
7.6
Bootstrapping ARIMA Models
.......................167
7.7
Summary
.......................................170
Exercises
............................................170
Chapter
8
Model Diagnostics
......................175
8.1
Residual Analysis
................................175
8.2
Overfitting and Parameter Redundancy
................185
8.3
Summary
.......................................188
Exercises
............................................188
Contents xi
Chapter
9
Forecasting
.............................191
9.1
Minimum Mean Square Error Forecasting
.............191
9.2
Deterministic Trends
..............................191
9.3
ARIMA Forecasting
..............................193
9.4
Prediction Limits
.................................203
9.5
Forecasting Illustrations
...........................204
9.6
Updating ARIMA Forecasts
........................207
9.7
Forecast Weights and Exponentially Weighted
Moving Averages
................................207
9.8
Forecasting Transformed Series
.....................209
9.9
Summary of Forecasting with Certain ARIMA Models
.... 211
9.10
Summary
......................................213
Exercises
...........................................213
Appendix E: Conditional Expectation
......................218
Appendix F: Minimum Mean Square Error Prediction
.........218
Appendix G: The Truncated Linear Process
................221
Appendix H: State Space Models
........................222
Chapter
10
Seasonal Models
......................227
10.1
Seasonal ARIMA Models
..........................228
10.2
Multiplicative Seasonal
ARMA
Models
................230
10.3
Nonstationary Seasonal ARIMA Models
..............233
10.4
Model Specification, Fitting, and Checking
.............234
10.5
Forecasting Seasonal Models
......................241
10.6
Summary
......................................246
Exercises
...........................................246
Chapter
11
Time Series Regression Models
......249
11.1
Intervention Analysis
............................. 249
11.2
Outliers
........................................ 257
11.3
Spurious Correlation
.............................. 260
11.4
Prewhitening and Stochastic Regression
.............. 265
11.5
Summary
...................................... 273
Exercises
........................................... 274
xjj
Contents
Chapter
12
Time Series Models of
HETEROSCEDASTICITY
.....................277
12.1
Some Common Features of Financial Time Series
.......278
12.2
The
ARCHO)
Model
..............................285
12.3
GARCH Models
..................................289
12.4
Maximum Likelihood Estimation
.....................298
12.5
Model Diagnostics
................................301
12.6
Conditions for the Nonnegativity of the
Conditional Variances
.............................307
12.7
Some Extensions of the GARCH Model
...............310
12.8
Another Example: The Daily USD/HKD Exchange Rates
. .311
12.9
Summary
.......................................315
Exercises
............................................316
Appendix I: Formulas for the Generalized Portmanteau Tests
.. .318
Chapter
13
Introduction to Spectral Analysis.
.. .319
13.1
Introduction
.....................................319
13.2
The
Periodogram
.................................322
13.3
The Spectral Representation and Spectral Distribution.
.. .327
13.4
The Spectral Density
..............................330
13.5
Spectral Densities for
ARMA
Processes
...............332
13.6
Sampling Properties of the Sample Spectral Density
.....340
13.7
Summary
.......................................346
Exercises
............................................346
Appendix J: Orthogonality of Cosine and Sine Sequences
.....349
Chapter
14
Estimating the Spectrum
..............351
14.1
Smoothing the Spectral Density
.....................351
14.2
Bias and Variance
................................354
14.3
Bandwidth
......................................355
14.4
Confidence Intervals for the Spectrum
................356
14.5
Leakage and Tapering
.............................358
14.6
Autoregressive
Spectrum Estimation
..................363
14.7
Examples with Simulated Data
......................364
14.8
Examples with Actual Data
.........................370
14.9
Other Methods of Spectral Estimation
.................376
14.10Summary
.......................................378
Exercises
............................................378
Appendix K: Tapering and the Dirichlet Kernel
...............381
Contents xiii
Chapter
15
Threshold Models
....................
38з
15.1
Graphically Exploring Nonlinearity
...................384
15.2
Tests for Nonlinearity
.............................390
15.3
Polynomial Models Are Generally Explosive
...........393
15.4
First-Order Threshold
Autoregressive
Models
..........395
15.5
Threshold Models
................................399
15.6
Testing for Threshold Nonlinearity
...................400
15.7
Estimation of a TAR Model
.........................402
15.8
Model Diagnostics
...............................411
15.9
Prediction
......................................415
15.10Summary
......................................420
Exercises
...........................................420
Appendix L: The Generalized Portmanteau Test for TAR
......421
Chapter
16
Appendix: An Introduction to
R
.......423
Introduction
.........................................423
Chapter
1
R
Commands
...............................429
Chapter
2
R
Commands
...............................433
Chapter
3
R
Commands
...............................433
Chapter
4
R
Commands
...............................438
Chapter
5
R
Commands
...............................439
Chapter
6
R
Commands
...............................441
Chapter
7
R
Commands
...............................442
Chapter
8
R
Commands
...............................446
Chapter
9
R
Commands
...............................447
Chapter
10
R
Commands
..............................450
Chapter
11
R
Commands
..............................451
Chapter
12
R
Commands
..............................457
Chapter
13
R
Commands
..............................460
Chapter
14
R
Commands
..............................461
Chapter
15
R
Commands
..............................462
New or Enhanced Functions in the TSA Library
.............468
Dataset
Information
.........................471
Bibliography
........................................477
Index
................................................487
|
| any_adam_object | 1 |
| author | Cryer, Jonathan D. Chan, Kung-Sik |
| author_GND | (DE-588)12999684X |
| author_facet | Cryer, Jonathan D. Chan, Kung-Sik |
| author_role | aut aut |
| author_sort | Cryer, Jonathan D. |
| author_variant | j d c jd jdc k s c ksc |
| building | Verbundindex |
| bvnumber | BV035836514 |
| classification_rvk | QH 237 SK 845 |
| classification_tum | DAT 307f MAT 634f |
| ctrlnum | (OCoLC)635012021 (DE-599)BVBBV035836514 |
| discipline | Informatik Mathematik Wirtschaftswissenschaften |
| edition | 2. ed., corr. at 3. printing |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02011nam a2200505 c 4500</leader><controlfield tag="001">BV035836514</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20180328 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">091120s2009 gw ad|| |||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">08,N04,1346</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0387759581</subfield><subfield code="9">0-387-75958-1</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780387759586</subfield><subfield code="c">Gb. : EUR 74.85 (freier Pr.), sfr 122.00 (freier Pr.)</subfield><subfield code="9">978-0-387-75958-6</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9780387759586</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">11965534</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)635012021</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035836514</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-BE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield><subfield code="a">DE-29T</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 845</subfield><subfield code="0">(DE-625)143262:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">DAT 307f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 634f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">510</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Cryer, Jonathan D.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)12999684X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Time series analysis</subfield><subfield code="b">with applications in R</subfield><subfield code="c">Jonathan D. Cryer ; Kung-Sik Chan</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed., corr. at 3. printing</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York, NY [u.a.]</subfield><subfield code="b">Springer</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIII, 491 S.</subfield><subfield code="b">Ill., graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Springer texts in statistics</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">R</subfield><subfield code="g">Programm</subfield><subfield code="0">(DE-588)4705956-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">R</subfield><subfield code="g">Programm</subfield><subfield code="0">(DE-588)4705956-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Chan, Kung-Sik</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-0-387-75959-3</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Bayreuth</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018694929&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-018694929</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| id | DE-604.BV035836514 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:05:46Z |
| institution | BVB |
| isbn | 0387759581 9780387759586 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018694929 |
| oclc_num | 635012021 |
| open_access_boolean | |
| owner | DE-703 DE-29T DE-91G DE-BY-TUM DE-20 DE-384 |
| owner_facet | DE-703 DE-29T DE-91G DE-BY-TUM DE-20 DE-384 |
| physical | XIII, 491 S. Ill., graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer texts in statistics |
| spelling | Cryer, Jonathan D. Verfasser (DE-588)12999684X aut Time series analysis with applications in R Jonathan D. Cryer ; Kung-Sik Chan 2. ed., corr. at 3. printing New York, NY [u.a.] Springer 2009 XIII, 491 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer texts in statistics Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf R Programm (DE-588)4705956-4 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s R Programm (DE-588)4705956-4 s 1\p DE-604 Chan, Kung-Sik Verfasser aut Erscheint auch als Online-Ausgabe 978-0-387-75959-3 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018694929&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Cryer, Jonathan D. Chan, Kung-Sik Time series analysis with applications in R Zeitreihenanalyse (DE-588)4067486-1 gnd R Programm (DE-588)4705956-4 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4705956-4 |
| title | Time series analysis with applications in R |
| title_auth | Time series analysis with applications in R |
| title_exact_search | Time series analysis with applications in R |
| title_full | Time series analysis with applications in R Jonathan D. Cryer ; Kung-Sik Chan |
| title_fullStr | Time series analysis with applications in R Jonathan D. Cryer ; Kung-Sik Chan |
| title_full_unstemmed | Time series analysis with applications in R Jonathan D. Cryer ; Kung-Sik Chan |
| title_short | Time series analysis |
| title_sort | time series analysis with applications in r |
| title_sub | with applications in R |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd R Programm (DE-588)4705956-4 gnd |
| topic_facet | Zeitreihenanalyse R Programm |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018694929&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT cryerjonathand timeseriesanalysiswithapplicationsinr AT chankungsik timeseriesanalysiswithapplicationsinr |