Transcription of TIME SERIES MODELLING, INFERENCE AND …
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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 Series11 Notation, Definitions and Basic Inference3 Problem Areas, Graphical Displays and Objectives3 Stochastic Processes and Stationarity8 Exploratory Analysis: Auto-Correlation and Cross-Correlation9 Exploratory Analysis: Smoothing and Differencing12A Primer on Likelihood and Bayesian Inference15 Posterior Sampling25 Discussion and Further Topics29 Appendix30 Problems312 Traditional time SERIES Models33 Structure of Autoregressions33 Forecasting39 Estimation in AR Models41 Further Issues on Bayesian INFERENCE for AR Models52 Autoregressive, Moving Average (ARMA) Models60 Discussion and Further Topics76 Appendix77 Problems773 The Frequency Domain794 Dynamic Linear Models805 State-Space TVAR Models81iiiivCONTENTS6 Other Univariate Models and Methods82 Part II Multivariate time Series837 Analysing Multiple time Series858 Multivariate Models869 Multivariate Models in Finance8710 Other Multivariate Models and Methods88 References89 Part IUNIVARIATE time SERIES1 Notation, Definitions and BasicInferenceProblem Areas, Graphical Displays and expressiontime SERIES data, ortime SERIES , usual
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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