Table of contents provided by Syndetics

• Introduction
• Some Representative Time Series
• Terminology
• Objectives of Time-Series Analysis
• Approaches to Time-Series Analysis
• Review of Books of Time Series
• Simple Descriptive Techniques
• Types of Variation
• Stationary Time Series
• The Time Plot
• Transformation
• Analysing Series that Contain a Trend
• Analysing Series that Contain Seasonal Variation
• Autocorrelation and the Correlogram
• Other Tests of Randomness
• Handling Real Data
• Probability Models For Time Series
• Stochastic Processes and their Properties
• Stationary Processes
• Some Properties of the Autocorrelation Function
• Some Useful Models
• The Wold Decomposition Theorem
• Fitting Time-Series Models (In The Time Domain)
• Estimating the Autocovariance and Autocorrelation Functions
• Fitting an Autoregressive Process
• Fitting a Moving Average Process
• Estimating the Parameters of an ARMA Model
• Estimating the Parameters of an ARIMA Model
• The Box-Jenkins Seasonal (SARIMA) Model
• Residual Analysis
• General Remarks on Model Building
• Forecasting
• Introduction
• Univariate Procedures
• Multivariate Procedures
• A Comparative Review of Forecasting Procedures
• Some Examples
• Prediction Theory
• Stationary Processes In The Frequency Domain
• Introduction
• The Spectral Distribution Function
• The Spectral Density Function
• The Spectrum of a Continuous Process
• Derivation of Selected Spectra
• Spectral Analysis
• Fourier Analysis
• A Simple Sinusoidal Model
• Periodogram Analysis
• Spectral Analysis: some Consistent Estimation Procedures
• Confidence Intervals for the Spectrum
• A Comparison of Different Estimation Procedures
• Analysing a Continuous Time Series
• Examples and Discussion
• Bivariate Processes
• The Cross-Covariance and Cross-Correlation Functions
• The Cross-Spectrum
• Linear Systems
• Introduction
• Linear systems in the Time Domain
• Linear Systems in the Frequency Domain
• Identification of Linear Systems
• State-Space Models And The Kalman Filter
• State-Space Models
• The Kalman Filter
• Non-Linear Models
• Introduction
• Some Models with Nonlinear Structure
• Models for Changing Variance
• Neural Networks
• Chaos
• Concluding Remarks
• Bibliography
• Multivariate Time-Series Modelling
• Introduction
• Single Equation Models
• Vector Autoregressive Models
• Vector ARMA Models
• Fitting VAR and VARMA Models
• Co-integration
• Bibliography
• Some More Advanced Topics
• Model Identification Tools
• Modelling Non-Stationary Series
• Fractional Differencing and Long-Memory Models
• Testing for Unit Roots
• The Effect of Model Uncertainty
• Control Theory
• Miscellanea
• Examples And Practical Advice
• General Comments
• Computer Software
• Examples
• More on the Time Plot
• Concluding Remarks
• Data Sources and Exercises
• Appendices
• The Fourier, Laplace, and z-Transforms
• The Dirac Delta Function
• Covariance and Correlation
• Some MINITAB and S-PLUS Commands
• Answers To Exercises
• References