Time Series: Theory and Methods

Here is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. It details techniques for handling data and offers a thorough understanding of their mathematical basis.

This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.

1 Stationary Time Series. - 2 Hilbert Spaces. - 3 Stationary ARMA Processes. - 4 The Spectral Representation of a Stationary Process. - 5 Prediction of Stationary Processes. - 6* Asymptotic Theory. - 7 Estimation of the Mean and the Autocovariance Function. - 8 Estimation for ARMA Models. - 9 Model Building and Forecasting with ARIMA Processes. - 10 Inference for the Spectrum of a Stationary Process. - 11 Multivariate Time Series. - 12 State-Space Models and the Kalman Recursions. - 13 Further Topics. - Appendix: Data Sets.