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Preface | |
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Time Serirs Data: Examples and Basic Concepts | |
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Introduction | |
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Examples of Time Series Data | |
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Understanding Autocorrelation | |
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The Wold Decomposition | |
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The Impulse Response Function | |
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Superposition Principle | |
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Parsimonious Models | |
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Exercises | |
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Visualizing Time Series Data Structures: Graphical Tools | |
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Introduction | |
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Graphical Analysis of Time Series | |
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Graph Terminology | |
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Graphical Perception | |
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Principles of Graph Construction | |
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Aspect Ratio | |
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Time Series Plots | |
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Bad Graphics | |
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Exercises | |
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Stationary Models | |
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Basics of Stationary Time Series Models | |
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Autoregressive Moving Average (ARMA) Models | |
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Stationarity and Invertibility of ARMA Models | |
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Checking for Stationarity using Variogram | |
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Transformation of Data | |
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Exercises | |
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Nonstationary Models | |
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Introduction | |
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Detecting Nonstationarity | |
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Autoregressive Integrated Moving Average (ARIMA) Models | |
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Forecasting using ARIMA Models | |
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Example 2: Concentration Measurements from a Chemical Process | |
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The EWMA Forecast | |
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Exercises | |
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Seasonal Models | |
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Seasonal Data | |
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Seasonal Arima Models | |
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Forecasting using Seasonal Arima Models | |
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Example 2: Company X's Sales Data | |
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Exercises | |
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Time Series Model Selection | |
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Introduction | |
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Finding the "Best" Model | |
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Example: Internet Users Data | |
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Model Selection Criteria | |
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Impulse Response Function to Study the Differences in Models | |
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Comparing Impulse Response Functions for Competing Models | |
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Arima Models as Rational Approximations | |
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Ar Versus Arma Controversy | |
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Final Thoughts on Model Selection | |
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How to Compute Impulse Response Functionswith a Spreadsheet | |
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Exercises | |
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Additional Issues In Arima Models | |
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Introduction | |
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Linear Difference Equations | |
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Eventual Forecast Function | |
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Deterministic Trend Models | |
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Yet Another Argument for Differencing | |
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Constant Term in Arima Models | |
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Cancellation of Terms in Arima Models | |
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Stochastic Trend: Unit Root Nonstationary Processes | |
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Overdifferencing and Underdifferencing | |
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Missing Values in Time Series Data | |
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Exercises | |
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Transfer-Function Models | |
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Introduction | |
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Studying Input-Output Relationships | |
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Example 1: The Box-Jenkins' Gas Furnace | |
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Spurious Cross Correlations | |
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Prewhitening | |
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Identification of the Transfer Function | |
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Modeling the Noise | |
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The General Methodology for Transfer Function Models | |
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Forecasting Using Transfer Function-Noise Models | |
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Intervention Analysis | |
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Exercises | |
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Additional Topics | |
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Spurious Relationships | |
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Autocorrelation in Regression | |
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Process Regime Changes | |
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Analysis of Multiple Time Series | |
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Structural Analysis of Multiple Time Series | |
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Exercises | |
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Datasets Used in the Examples | |
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Temperature Readings from a Ceramic Furnace | |
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Chemical Process Temperature Readings | |
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Chemical Process Concentration Readings | |
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International Airline Passengers | |
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Company X's Sales Data | |
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Internet Users Data | |
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Historical Sea Level (mm) Data in Copenhagen, Denmark | |
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Gas Furnace Data | |
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Sales with Leading Indicator | |
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Crest/Colgate Market Share | |
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Simulated Process Data | |
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Coen et al. (1969) Data | |
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Temperature Data from a Ceramic Furnace | |
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Temperature Readings from an Industrial Process | |
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US Hog Series | |
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Datasets Used in the Exercise | |
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Beverage Amount (ml) | |
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Pressure of the Steam Fed to a Distillation Column (bar) | |
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Number of Paper Checks Processed in a Local Bank | |
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Monthly Sea Levels in Los Angeles, California (mm) | |
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Temperature Readings from a ChemicalTroeess (?C) | |
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Daily Average Exchange Rates between US Dollar and Euro | |
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Monthly US Unemployment Rates | |
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Monthly Residential Electricity Sales (MWh) and Average Residential Electricity Retail Price (c/kWh) in the United States | |
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Monthly Outstanding Consumer Credits Provided by Commercial Banks in the United States (million USD) | |
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100 Observations Simulated from an ARMA (1, 1) Process | |
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Quarterly Rental Vacancy Rates in the United States | |
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W?lfer Sunspot Numbers | |
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Viscosity Readings from a Chemical Process | |
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UK Midyear Population | |
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Unemployment and GDP data for the United Kingdom | |
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Monthly Crude Oil Production of OPEC Nations | |
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Quarterly Dollar Sales of Marshall Field & Company ($ 1000) | |
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Bibliography | |
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Index | |