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    Lehrstuhl für Mathematik VIII - Statistik

    The Book

    Here you can download the book as pdf (version: 2012.August.01, 2.6 MB).

    Table of Contents

    1. Elements of Exploratory Time Series Analysis
      1. The Additive Model for a Time Series
      2. Linear Filtering of Time Series
      3. Autocovariances and Autocorrelations
      4. Exercises
    2. Models of Time Series
      1. Linear Filters and Stochastic Processes
      2. Moving Averages and Autoregressive Processes
      3. The Box–Jenkins Program
      4. Exercises
    3. State-Space Models
      1. The State-Space Representation
      2. The Kalman-Filter
      3. Exercises
    4. The Frequency Domain Approach of a Time Series
      1. Least Squares Approach with Known Frequencies
      2. The Periodogram
      3. Exercises
    5. The Spectrum of a Stationary Process
      1. Characterizations of Autocovariance Functions
      2. Linear Filters and Frequencies
      3. Spectral Density of an ARMA-Process
      4. Exercises
    6. Statistical Analysis in the Frequency Domain
      1. Testing for a White Noise
      2. Estimating Spectral Densities
      3. Exercises
    7. The Box–Jenkins Program: A Case Study
      1. Partial Correlation and Levinson–Durbin Recursion
      2. Asymptotic Normality of Partial Autocorrelation Estimator
      3. Asymptotic Normality of Autocorrelation Estimator
      4. First Examinations
      5. Order Selection
      6. Diagnostic Check
      7. Forecasting
      8. Exercises
    8. Bibliography
    9. Index
    10. SAS-Index
    11. GNU Free Documentation Licence

    Source Code

    The LaTeX source code is published under the GNU Free Documentation License.

    You can get one zip-file (version: 2012.August.01, 2.3 MB) containing all the files you need.

    The zip-file does not contain the datasets. Please download them seperately here.

    Contact

    Lehrstuhl für Mathematik VIII (Statistik)
    Emil-Fischer-Straße 30
    Campus Hubland Nord
    97074 Würzburg

    Phone: +49 931 31-84938
    Email

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