Time Series: Theory and Methods

1. Front Matter

   Pages i-xvi

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2. Stationary Time Series

   • Peter J. Brockwell, Richard A. Davis

   Pages 1-41

3. Hilbert Spaces

   • Peter J. Brockwell, Richard A. Davis

   Pages 42-76

4. Stationary ARMA Processes

   • Peter J. Brockwell, Richard A. Davis

   Pages 77-113

5. The Spectral Representation of a Stationary Process

   • Peter J. Brockwell, Richard A. Davis

   Pages 114-165

6. Prediction of Stationary Processes

   • Peter J. Brockwell, Richard A. Davis

   Pages 166-197

7. Asymptotic Theory

   • Peter J. Brockwell, Richard A. Davis

   Pages 198-217

8. Estimation of the Mean and the Autocovariance Function

   • Peter J. Brockwell, Richard A. Davis

   Pages 218-237

9. Estimation for ARMA Models

   • Peter J. Brockwell, Richard A. Davis

   Pages 238-272

10. Model Building and Forecasting with ARIMA Processes

    • Peter J. Brockwell, Richard A. Davis

    Pages 273-329

11. Inference for the Spectrum of a Stationary Process

    • Peter J. Brockwell, Richard A. Davis

    Pages 330-400

12. Multivariate Time Series

    • Peter J. Brockwell, Richard A. Davis

    Pages 401-462

13. State-Space Models and the Kalman Recursions

    • Peter J. Brockwell, Richard A. Davis

    Pages 463-505

14. Further Topics

    • Peter J. Brockwell, Richard A. Davis

    Pages 506-553

15. Back Matter

    Pages 555-579

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This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.

• Variance
• mathematics
• modeling
• statistics
• time series

• Department of Statistics, Colorado State University, Fort Collins, USA

  Peter J. Brockwell, Richard A. Davis

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