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Author:   R.J. Hyndman ,  Peter J. Brockwell ,  Richard A. Davis
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   1994 ed.
Dimensions:   Width: 15.50cm , Height: 1.40cm , Length: 23.50cm
Weight:   0.248kg
ISBN:  

9780387943374

ISBN 10:   0387943374
Pages:   118
Publication Date:   12 August 1994
Audience:   General/trade ,  General
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of stock  
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Table of Contents

1 Introduction.- 1.1 The Programs.- 1.2 System Requirements.- 1.2.1 Installation.- 1.2.2 Running ITSM.- 1.2.3 Printing Graphs.- 1.3 Creating Data Files.- 2 PEST.- 2.1 Getting Started.- 2.1.1 Running PEST.- 2.1.2 PEST Tutorial.- 2.2 Preparing Your Data for Modelling.- 2.2.1 Entering Data.- 2.2.2 Filing Data.- 2.2.3 Plotting Data.- 2.2.4 Transforming Data.- 2.3 Finding a Model for Your Data.- 2.3.1 The ACF and PACF.- 2.3.2 Entering a Model.- 2.3.3 Preliminary Parameter Estimation.- 2.3.4 The AICC Statistic.- 2.3.5 Changing Your Model.- 2.3.6 Parameter Estimation; the Gaussian Likelihood.- 2.3.7 Optimization Results.- 2.4 Testing Your Model.- 2.4.1 Plotting the Residuals.- 2.4.2 ACF/PACF of the Residuals.- 2.4.3 Testing for Randomness of the Residuals.- 2.5 Prediction.- 2.5.1 Forecast Criteria.- 2.5.2 Forecast Results.- 2.5.3 Inverting Transformations.- 2.6 Model Properties.- 2.6.1 ARMA Models.- 2.6.2 Model ACF, PACF.- 2.6.3 Model Representations.- 2.6.4 Generating Realizations of a Random Series.- 2.6.5 Model Spectral Density.- 2.7 Nonparametric Spectral Estimation.- 2.7.1 Plotting the Periodogram.- 2.7.2 Plotting the Cumulative Periodogram.- 2.7.3 Fisher's Test.- 2.7.4 Smoothing to Estimate the Spectral Density.- 3 SMOOTH.- 3.1 Introduction.- 3.2 Moving Average Smoothing.- 3.3 Exponential Smoothing.- 3.4 Removing High Frequency Components.- 4 SPEC.- 4.1 Introduction.- 4.2 Bivariate Spectral Analysis.- 4.2.1 Estimating the Spectral Density of Each Series.- 4.2.2 Estimating the Absolute Coherency Spectrum.- 4.2.3 Estimating the Phase Spectrum.- 5 TRANS.- 5.1 Introduction.- 5.2 Computing Cross Correlations.- 5.3 An Overview of Transfer Function Modelling.- 5.4 Fitting a Preliminary Transfer Function Model.- 5.5 Calculating Residuals from a Transfer Function Model.- 5.6 LS Estimation and Prediction with Transfer Function Models.- 6 ARVEC.- 6.1 Introduction.- 6.1.1 Multivariate Autoregression.- 6.2 Model Selection with the AICC Criterion.- 6.3 Forecasting with the Fitted Model.- 7 BURG.- 7.1 Introduction.- 8 ARAR.- 8.1 Introduction.- 8.1.1 Memory Shortening.- 8.1.2 Fitting a Subset Autoregression.- 8.2 Running the Program.- 9 LONGMEM.- 9.1 Introduction.- 9.2 Parameter Estimation.- 9.3 Prediction.- 9.4 Simulation.- 9.5 Plotting the Model and Sample ACVF.- Appendix A: The Screen Editor WORD6.- A.1 Basic Editing.- A.2 Alternate Keys.- A.3 Printing a File.- A.4 Merging Two or More Files.- A.5 Margins and Left and Centre Justification.- A.6 Tab Settings.- A.7 Block Commands.- A.8 Searching.- A.9 Special Characters.- A.10 Function Keys.- A. 11 Editing Information.- Appendix B: Data Sets.

Reviews

Although it has such an easy-to use appearance and a menu driven structure, the programs are surprisingly flexible and many sophisticated time series analyses can be carried out with the package. (Journal of the American Statistical Association)

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