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Time Series Analysis
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Time Series Analysis Forecasting and Control.
Saved in:
Bibliographic Details
Main Author:
Box, George E. P.
Format:
eBook
Language:
English
Published:
Newark :
John Wiley & Sons, Incorporated,
2015.
Series:
New York Academy of Sciences Ser.
Subjects:
Feedback control systems
>
Mathematical models.
Prediction theory.
Time-series analysis.
Transfer functions.
Electronic books.
Online Access:
Click for online access
Holdings
Description
Table of Contents
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Table of Contents:
Intro
Wiley Series in Probability and Statistics
Title Page
Copyright
Dedication
Preface to the Fifth Edition
Preface to the Fourth Edition
Preface to the Third Edition
Chapter 1: Introduction
1.1 Five Important Practical Problems
1.2 Stochastic and Deterministic Dynamic Mathematical Models
1.3 Basic Ideas in Model Building
Appendix A1.1 Use Of The R Software
Exercises
Part One: Stochastic Models and Their Forecasting
Chapter 2: Autocorrelation Function and Spectrum of Stationary Processes
2.1 Autocorrelation Properties of Stationary Models
2.2 Spectral Properties of Stationary Models
Appendix A2.1 Link Between the Sample Spectrum and Autocovariance Function Estimate
Exercises
Chapter 3: Linear Stationary Models
3.1 General Linear Process
3.2 Autoregressive Processes
3.3 Moving Average Processes
3.4 Mixed Autoregressive-Moving Average Processes
Appendix A3.1 Autocovariances, Autocovariance Generating Function, and Stationarity Conditions for a General Linear Process
Appendix A3.2 Recursive Method for Calculating Estimates of Autoregressive Parameters
Exercises
Chapter 4: Linear Nonstationary Models
4.1 Autoregressive Integrated Moving Average Processes
4.2 Three Explicit Forms for the Arima Model
4.3 Integrated Moving Average Processes
Appendix A4.1 Linear Difference Equations
Appendix A4.2 IMA(0, 1, 1) Process with Deterministic Drift
Appendix A4.3 Arima Processes with Added Noise
Exercises
Chapter 5: Forecasting
5.1 Minimum Mean Square Error Forecasts and Their Properties
5.2 Calculating Forecasts and Probability Limits
5.3 Forecast Function and Forecast Weights
5.4 Examples of Forecast Functions and Their Updating
5.5 Use of State-Space Model Formulation for Exact Forecasting
5.6 Summary
Appendix A5.1 Correlation Between Forecast Errors
Appendix A5.2 Forecast Weights for Any Lead Time
Appendix A5.3 Forecasting in Terms of the General Integrated Form
Exercises
Part Two: Stochastic Model Building
Chapter 6: Model Identification
6.1 Objectives of Identification
6.2 Identification Techniques
6.3 Initial Estimates for the Parameters
6.4 Model Multiplicity
Appendix A6.1 Expected Behavior of the Estimated Autocorrelation Function for a Nonstationary Process
Exercises
Chapter 7: Parameter Estimation
7.1 Study of the Likelihood and Sum-of-Squares Functions
7.2 Nonlinear Estimation
7.3 Some Estimation Results for Specific Models
7.4 Likelihood Function Based on the State-Space Model
7.5 Estimation Using Bayes' Theorem
Appendix A7.1 Review of Normal Distribution Theory
Appendix A7.2 Review of Linear Least-Squares Theory
Appendix A7.3 Exact Likelihood Function for Moving Average and Mixed Processes
Appendix A7.4 Exact Likelihood Function for an Autoregressive Process
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