A First Course on Time Series Analysis
http://statistik.mathematik.uni-wuerzburg.de/timeseries/index.php?id=book
1 Elements of Exploratory Time Series Analysis
1.1 The Additive Model for a Time Series
1.2 Linear Filtering of Time Series
1.3 Autocovariances and Autocorrelations
Exercises
2 Models of Time Series
2.1 Linear Filters and Stochastic Processes
2.2 Moving Averages and Autoregressive Processes
2.3 Specication of ARMA-Models: The Box–Jenkins Program
2.4 State-Space Models
Exercises
3 The Frequency Domain Approach of a Time Series
3.1 Least Squares Approach with Known Frequencies
3.2 The Periodogram
Exercises
4 The Spectrum of a Stationary Process
4.1 Characterizations of Autocovariance Functions
4.2 Linear Filters and Frequencies
viii Contents
4.3 Spectral Densities of ARMA-Processes
Exercises
5 Statistical Analysis in the Frequency Domain
5.1 Testing for a White Noise
5.2 Estimating Spectral Densities
Exercises
