A course in time series analysis / editors, Daniel Peña, George C. Tiao, Ruey S. Tsay.

Includes bibliographical references and index.

Front Matter -- Introduction / Daniel Pea̜, George C Tiao -- Basic Concepts in Univariate Time Series. Univariate Time Series: Autocorrelation, Linear Prediction, Spectrum, and State-Space Model / G Tunnicliffe Wilson -- Univariate Autoregressive Moving-Average Models / George C Tiao -- Model Fitting and Checking, and the Kalman Filter / G Tunnicliffe Wilson -- Prediction and Model Selection / Daniel Pea̜ -- Outliers, Influential Observations, and Missing Data / Daniel Pea̜ -- Automatic Modeling Methods for Univariate Series / Victor Gm̤ez, Agustn̕ Maravall -- Seasonal Adjustment and Signal Extraction Time Series / Victor Gm̤ez, Agustn̕ Maravall -- Advanced Topics in Univariate Time Series. Heteroscedastic Models / Ruey S Tsay -- Nonlinear Time Series Models: Testing and Applications / Ruey S Tsay -- Bayesian Time Series Analysis / Ruey S Tsay -- Nonparametric Time Series Analysis: Nonparametric Regression, Locally Weighted Regression, Autoregression, and Quantile Regression / Siegfried Heiler -- Neural Network Models / Kurt Hornik, Friedrich Leisch -- Multivariate Time Series. Vector ARMA Models / George C Tiao -- Cointegration in the VAR Model / Sr̨en Johansen -- Identification of Linear Dynamic Multiinput/Multioutput Systems / Manfred Deistler -- Index -- Wiley Series in Probability and Statistics.

Univariate time series : autocorrelation, linear prediction, spectrum, and state-space model / G.T. Wilson -- Univariate autoregressive moving-average models / G.C. Tiao -- Model fitting and checking, and the Kalman filter / G.T. Wilson -- Prediction and model selection / D. Peña -- Outliers, influential observations, and missing data / D. Peña -- Automatic modeling methods for univariate series / V. Gómez and A. Maravall -- Seasonal adjustment and signal extraction time series / V. Gómez and A. Maravall -- Heteroscedastic models / R.S. Tsay -- Nonlinear time series models : testing and applications / R.S. Tsay -- Bayesian time series analysis / R.S. Tsay -- Nonparametric time series analysis : nonparametric regression, locally weighted regression, autoregression, and quantile regression / S. Heiler -- Neural network models / K. Hornik and F. Leisch -- Vector ARMA models / G.C. Tiao -- Cointegration in the VAR model / S. Johansen -- Identification of linear dynamic multiinput/multioutput systems / M. Deistler.

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New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data. It brings together material previously available only in the professional literature and presents a unified view of the most advanced procedures available for time series model building. The authors begin with basic concepts in univariate time series, providing an up-to-date presentation of ARIMA models, including the Kalman filter, outlier analysis, automatic methods for building ARIMA models, a.

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