Introduction to Time Series Analysis and Forecasting

摘要: 1. Introduction to Forecasting. 1.1 The Nature and uses of Forecasts. 1.2 Some Examples Time Series. 1.3 Forecasting Process. 1.4 Resources for 2. Statistics Background 2.1 Introduction. 2.2 Graphical Displays. 2.3 Numerical Description Series Data. 2.4 Use Data Transformations Adjustments. 2.5 General Approach Analysis 2.6 Evaluating Monitoring Model Performance. 3. Regression 3.1 3.2 Least Squares Estimation in Linear Models. 3.3 Statistical Inference Regression. 3.4 Prediction New Observations. 3.5 Adequacy Checking. 3.6 Variable Selection Methods 3.7 Generalized Weighted Squares. 3.8 Models 4. Exponential Smoothing Methods. 4.1 4.2 First-Order Smoothing. 4.3 Modeling series 4.4 Second-Order 4.5 Higher-Order 4.6 4.7 Seasonal 4.8 Smoothers ARIMA 5. Autoregressive Integrated Moving Average (ARIMA) 5.1 5.2 Stationary 5.3 Finite Order (MA) Processes. 5.4 5.5 Mixed Autoregressive-Moving (ARMA) 5.6 Non-stationary 5.7 Building . 5.8 Processes 5.9 5.10 Final Comments. 6. Transfer Function Intervention 6.1 6.2 6.3 Function-Noise 6.4 Cross Correlation Function. 6.5 Specification. 6.6 with 6.7 Analysis. 7. Survey Other 7.1 Multivariate 7.2 State Space 7.3 ARCH GARCH 7.4 Direct Percentiles. 7.5 Combining Forecasts Improve 7.6 Aggregation Disaggregation 7.7 Neural Networks 7.8 Comments on Practical Implementation use Techniques. Bibliography. Appendix. Appendix A Tables. Table A.1 Cumulative Normal Distribution. A.2 Percentage Points the Chi-Square A.3 t A.4 F A.5 Critical Values Durbin-Watson Statistic. B Sets Exercises. B.1 Market Yield U.S. Treasury Securities at 10-year Constant Maturity. B.2 Pharmaceutical Product Sales. B.3 Chemical Process Viscosity. B.4 U.S Production Blue Gorgonzola Cheeses. B.5 Beverage Manufacturer Shipments, Unadjusted. B.6 Global Mean Surface Air Temperature Anomaly CO22 Concentration. B.7 Whole Foods Stock Price, Daily Closing Adjusted Splits. B.8 Unemployment Rate - Full-Time Labor Force, Not Seasonally Adjusted. B.9 International Sunspot Numbers. B.10 United Kingdom Airline Miles Flown. B.11 Champagne B.12 Yield, Operating (Uncontrolled). B.13 Ice Cream Frozen Yogurt. B.14 Atmospheric CO2 Concentrations Mauna Loa Observatory. B.15 National Violent Crime Rate. B.16 Gross Domestic Product. B.17 Total Energy Consumption. B.18 Coal Production. B.19 Arizona Drowning Rate, Children 1-4 Years Old. B.20 Internal Revenue Tax Refunds. Index.