A First Course on Time Series Analysis Examples with SAS

Elements of Exploratory Time Series Analysis......Page 9
The Additive Model for a Time Series......Page 10
Linear Filtering of Time Series......Page 24
Autocovariances and Autocorrelations......Page 38
Exercises......Page 43
Linear Filters and Stochastic Processes......Page 49
Moving Averages and Autoregressive Processes......Page 60
Specification of ARMA-Models: The Box--Jenkins Program......Page 93
State-Space Models......Page 102
Exercises......Page 112
The Frequency Domain Approach of a Time Series......Page 121
Least Squares Approach with Known Frequencies......Page 122
The Periodogram......Page 128
Exercises......Page 139
The Spectrum of a Stationary Process......Page 143
Characterizations of Autocovariance Functions......Page 144
Linear Filters and Frequencies......Page 149
Spectral Densities of ARMA-Processes......Page 157
Exercises......Page 160
Testing for a White Noise......Page 167
Estimating Spectral Densities......Page 175
SAS-Index......Page 192
GNU Free Documentation License......Page 207