TIME SERIES MODELLING, INFERENCE AND …
RAQUEL PRADO and MIKE WEST time SERIESMODELLING, INFERENCEAND forecasting AMS, University of California, Santa Cruz ISDS, Duke UniversityContentsRaquel Prado and Mike WestPart I Univariate time Series11Notation, Definitions and Basic Inference3Problem Areas, Graphical Displays and Objectives3Stochastic Processes and Stationarity8Exploratory Analysis: Auto-Correlation and Cross-Correlation9Exploratory Analysis: Smoothing and Differencing12A Primer on Likelihood and Bayesian Inference15Posterior Sampling25Discussion and Further Topics29Appendix30Problems312Traditional time SERIES Models33Structure of Autoregressions33Forecasting39Estimation in AR Models41Further Issues on Bayesian INFERENCE for AR Models52Autoregressive, Moving Average (ARMA) Models60Discussion and Further Topics76Appendix77Problems773The Frequency Domain794Dynamic Linear Models805State-Space TVAR Models81iiiivCONTENTS6Other Univariate Models and Methods82Part II Multivariate time Series837Analysing Multiple time Series858Multivariate Models869Multivariate Models in Finance8710 Other Multivariate Models and Methods88References89Part IUNIVARIATE time SERIES1Notation, Definitions and BasicInferenceProblem Areas, Graphical Displays and expressiontime SERIES data, ortime SERIES , usually refers to a set ofobs
TIME SERIES MODELLING, INFERENCE AND FORECASTING ... A time series process is a stochastic process or a collection of random variables yt indexed in time. Note that yt will be used throughoutthe book to denote a random variable or an actual realisation of the time series process at time t. We use the
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