Introduction to Statistical Time Series

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John Wiley & Sons, 1996 - Mathematics - 698 pages
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The subject of time series is of considerable interest, especially among researchers in econometrics, engineering, and the natural sciences. As part of the prestigious Wiley Series in Probability and Statistics, this book provides a lucid introduction to the field and, in this new Second Edition, covers the important advances of recent years, including nonstationary models, nonlinear estimation, multivariate models, state space representations, and empirical model identification. New sections have also been added on the Wold decomposition, partial autocorrelation, long memory processes, and the Kalman filter.

Major topics include:

  • Moving average and autoregressive processes
  • Introduction to Fourier analysis
  • Spectral theory and filtering
  • Large sample theory
  • Estimation of the mean and autocorrelations
  • Estimation of the spectrum
  • Parameter estimation
  • Regression, trend, and seasonality
  • Unit root and explosive time series

To accommodate a wide variety of readers, review material, especially on elementary results in Fourier analysis, large sample statistics, and difference equations, has been included.

 

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Contents

Moving Average and Autoregressive Processes
21
Average Processes
58
Introduction to Fourier Analysis
112
Spectral Theory and Filtering
143
Stationary Process
149
Some Large Sample Theory
214
Estimation of the Mean and Autocorrelations
308
The Periodogram Estimated Spectrum
355
Parameter Estimation
404
Regression Trend and Seasonality
475
Unit Root and Explosive Time Series
546
Bibliography
664
Index
689
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About the author (1996)

WAYNE A. FULLER is Distinguished Professor in the Departments of Statistics and Economics at Iowa State University. He is the author of Measurement Error Models and numerous articles in time series, survey sampling, and econometrics. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and the Econometric Society, he received his PhD in agricultural economics from Iowa State University.