Additional Time Domain Topics

Abstract

In this chapter, we present material that may be considered special or advanced topics in the time domain. Chapter 6 is devoted to one of the most useful and interesting time domain topics, state-space models. Consequently, we do not cover state-space models or related topics—of which there are many—in this chapter. This chapter contains sections of independent topics that may be read in any order. Most of the sections depend on a basic knowledge of ARMA models, forecasting and estimation, which is the material that is covered in Chap. 3. A few sections, for example the section on long memory models, require some knowledge of spectral analysis and related topics covered in Chap. 4. In addition to long memory, we discuss unit root testing, GARCH models, threshold models, lagged regression or transfer functions, and selected topics in multivariate ARMAX models.