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Time Series Analysis - Auckland

time Series AnalysisLecture Notes for IhakaStatistics DepartmentUniversity of AucklandApril 14, 2005iiContents1 time Series .. Stationarity and Non-Stationarity .. Some Examples .. Annual Auckland Rainfall .. Nile River Flow .. Yield on British Government Securities .. Ground Displacement in an Earthquake .. United States Housing Starts .. Iowa City Bus Ridership .. 32 Vector Space Vectors In Two Dimensions .. Scalar Multiplication and Addition .. Norms and Inner Products .. General Vector Spaces .. Vector Spaces and Inner Products .. Some Examples .. Hilbert Spaces .. Subspaces .. Projections .. Hilbert Spaces and Prediction .. Linear Prediction .. General Prediction .. 153 time Series time Series .. Hilbert Spaces and Stationary time Series .. The Lag and Differencing Operators .. Linear Processes .. Autoregressive Series .

time series are related in simple ways to series which are stationary. Two im-portant examples of this are: Trend models : The series we observe is the sum of a determinstic trend series and a stationary noise series. A simple example is the linear trend

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