There are now a large number of books on time series. Our philosophy and notation are close to those of the applied book by Diggle (1990) (from which some of our examples are taken). Brockwell & Davis (1991) and Priestley (1981) provide more theoretical treatments, and Bloomfield (1976) and Priestley are particularly thorough on spectral analysis. Brockwell & Davis (1996) is an excellent low-level introduction to the theory.
KeywordsARMA Process Multiple Time Series Fourier Frequency Spectral Density Estimate ARIMA Process
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- 1.That is, the covariance sequence is positive-definite.Google Scholar