Time Series Analysis: Univariate and Multivariate Methods

Abstract

1. Overview. 2. Fundamental Concepts. 3. Stationary Time Series Models. 4. Non-Stationary Time Series Models. 5. Forecasting. 6. Model Identification. 7. Parameter Estimation, Diagnostic Checking, and Model Selection. 8. Seasonal Time Series Models. 9. Intervention Analysis and Outlier Detection. 10. Fourier Analysis. 11. Spectral Theory of Stationary Processes. 12. Estimation of the Spectrum. 13. Transfer Function Models. 14. Vector Time Series Models. 15. State Space Models and the Kalman Filter. 16. Aggregation and Systematic Sampling in Time Series. 17. References. 18. Appendix.