Time series : a data analysis approach using R / Robert Shumway, David Stoffer.

Format:

Book

Author/Creator:

Shumway, Robert H., author.

Stoffer, David S., author.

Contributor:

EBSCOhost.

Alumni and Friends Memorial Book Fund.

Language:

English

Subjects (All):

Time-series analysis--Textbooks.

Time-series analysis.

Time-series analysis--Data processing.

R (Computer program language).

Genre:

Textbooks.

Physical Description:

1 online resource (xii, 259 pages) : illustrations (some color

Place of Publication:

Boca Raton : CRC Press, Taylor & Francis Group, 2019.

System Details:

text file

Contents:

1 Time Series Elements p. 1

1.2 Time Series Data p. 1

1.3 Time Series Models p. 9

2 Correlation and Stationary Time Series p. 17

2.1 Measuring Dependence p. 17

2.2 Stationary p. 21

2.3 Estimation of Correlation p. 27

3 Time Series Regression and EDA p. 37

3.1 Ordinary Least Squares for Time Series p. 37

3.2 Exploratory Data Analysis p. 47

3.3 Smoothing Time Series p. 58

4 ARMA Models p. 67

4.1 Autoregressive Moving Average Models p. 67

4.2 Correlation Functions p. 76

4.4 Forecasting p. 92

5 ARIMA Models p. 99

5.1 Integrated Models p. 99

5.2 Building ARTMA Models p. 104

5.3 Seasonal ARIMA Models p. 111

5.4 Regression with Autocorrelated Errors p. 122

6 Spectral Analysis and Filtering p. 129

6.1 Periodicity and Cyclical Behavior p. 129

6.2 The Spectral Density p. 137

6.3 Linear Filters* p. 140

7 Spectral Estimation p. 149

7.1 Periodogram and Discrete Fourier Transform p. 149

7.2 Nonparametrie Spectral Estimation p. 153

7.3 Parametric Spectral Estimation p. 165

7.4 Coherence and Cross-Spectra* p. 168

8 Additional Topics* p. 175

8.1 GARCH Models p. 175

8.2 Unit Root Testing p. 182

8.3 Long Memory and Fractional Differencing p. 185

8.4 State Space Models p. 191

8.5 Cross-Correlation Analysis and Prewhitening p. 194

8.6 Bootstrapping Autoregressive Models p. 196

8.7 Threshold Autoregressive Models p. 201.

Notes:

Includes bibliographical references (pages 253-255) and index.

Electronic reproduction. Ipswich, MA Available via World Wide Web.

Description based on print version record.

Local Notes:

Acquired for the Penn Libraries with assistance from the Alumni and Friends Memorial Book Fund.

ISBN:

9781000001563

1000001563

Publisher Number:

99981227915

Access Restriction:

Restricted for use by site license.