Statistical Inference in Time Series

  • P. Whittle
Part of the The New Palgrave book series (NPA)


We shall use t to denote time. In principle the world evolves in continuous time, when t may take any value. However, observations will effectively be taken discretely, commonly at regular time intervals (e.g. daily, weekly, monthly, …). For analysis of observations it is then natural to work in discrete time and t may be assumed to take only integer values {…,— 2, — 1, 0, 1, 2, …}, if the observation interval is taken as the unit of time.


Time Series Statistical Inference Time Series Analysis ARMA Model Spectral Density Function 
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© Palgrave Macmillan, a division of Macmillan Publishers Limited 1990

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  • P. Whittle

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