Statistical Analysis of Time Series

  • Tomas Cipra


Chapter 31 contains formulas relevant for time series analysis: 31.1. Predictions in Time Series, 31.2. Decomposition of (Economic) Time Series, 31.3. Estimation of Correlation and Spectral Characteristics, 31.4. Linear Time Series, 31.5 Nonlinear and Financial Time Series, 31.6 Multivariate Time Series, 31.7. Kalman Filter.


White Noise Kalman Filter Model ARMA Stationary Time Series Stationary Stochastic Process 
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Further Reading

  1. Abraham, B., Ledolter, J.: Statistical Methods for Forecasting. Wiley, New York (1983)MATHCrossRefGoogle Scholar
  2. Bowerman, B.L., O’Connell, R.T.: Time Series and Forecasting. Duxbury Press, North Scituate, MA (1979)MATHGoogle Scholar
  3. Box, G.E.P., Jenkins, G.M.: Time Series Analysis, Forecasting and Control. Holden-Day, San Francisco, CA (1970)MATHGoogle Scholar
  4. Brockwell, P.J., Davis, R.A.: Time Series: Theory and Methods. Springer, New York (1987)MATHGoogle Scholar
  5. Brockwell, P.J., Davis, R.A.: Introduction to Time Series Analysis. Springer, New York (1996)Google Scholar
  6. Brown, R.G.: Smoothing, Forecasting and Prediction of Discrete Time Series. Prentice-Hall, Englewood Cliffs, NJ (1963)Google Scholar
  7. Chatfield, C.: The Analysis of Time Series: Theory and Practice. Chapman and Hall, London (1975)MATHGoogle Scholar
  8. Fuller, W.A.: Introduction to Statistical Time Series. Wiley, New York (1976)MATHGoogle Scholar
  9. Granger, C.W.J., Newbold, P.: Forecasting Economic Time Series. Academic, San Diego, CA (1986)MATHGoogle Scholar
  10. Hamilton, J.D.: Time Series Analysis. Princeton University Press, Princeton, NJ (1994)MATHGoogle Scholar
  11. Harvey, A.C.: The Econometric Analysis of Time Series. Allan, Oxford (1981)MATHGoogle Scholar
  12. Kendall, M.: Time-Series. Griffin, London (1976)Google Scholar
  13. Taylor, S.: Modelling Financial Time Series. Wiley, Chichester (1986)MATHGoogle Scholar
  14. Tsay, R.S.: Analysis of Financial Time Series. Wiley, New York (2002)MATHCrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Dept. of Statistics, Faculty of Mathematics and PhysicsCharles University of PraguePragueCzech Republic

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