The Foundations of Modern Time Series Analysis

Front Matter....Pages i-xiv
Prolegomenon: A Personal Perspective and an Explanation of the Structure of the Book....Pages 1-5
Yule and Hooker and the Concepts of Correlation and Trend....Pages 6-17
Schuster, Beveridge and Periodogram Analysis....Pages 18-29
Detrending and the Variate Differencing Method: Student, Pearson and Their Critics....Pages 30-63
Nonsense Correlations, Random Shocks and Induced Cycles: Yule, Slutzky and Working....Pages 64-115
Periodicities in Sunspots and Air Pressure: Yule, Walker and the Modelling of Superposed Fluctuations and Disturbances....Pages 116-141
The Formal Modelling of Stationary Time Series: Wold and the Russians....Pages 142-182
Generalizations and Extensions of Stationary Autoregressive Models: From Kendall to Box and Jenkins....Pages 183-206
Statistical Inference, Estimation and Model Building for Stationary Time Series....Pages 207-260
Dealing with Nonstationarity: Detrending, Smoothing and Differencing....Pages 261-288
Forecasting Nonstationary Time Series....Pages 289-316
Modelling Dynamic Relationships Between Time Series....Pages 317-356
Spectral Analysis of Time Series: The Periodogram Revisited and Reclaimed....Pages 357-374
Tackling Seasonal Patterns in Time Series....Pages 375-395
Emerging Themes....Pages 396-402
The Scene is Set....Pages 403-418
Back Matter....Pages 419-461