|
|
 |
| Авторизация |
|
|
|
| Поиск по указателям |
|
|
|
|
|
|
|
 |
|
|
|
| Chatfield C. — The Analysis of Time Series: An Introduction |
|
|
|
| Предметный указатель |
Abraham, B. 68 184 188 189 233
Additive seasonal effect 17
Aggregated series 5 85
Airline data 251—257
Akaike's information criterion (AIC) 226
Akaike, H. 87 129 177 178 226
Aliasing 126
Alignment 146
Alternating series 22
Amplitude 92 110
Anderson, T.W. 1 106 111 129 131
Andrews, D.F. 193 260
Andrews, R.L. 185
Angular frequency 93
Aoki, M. 188
ARARMA method 76
ARCH model 205
ARIMA model 42 59
ARMA model 40—42 59
Armstrong, J.S. 66 79
Ashley, R. 81
Astrom — Bohlin approach 176
Astrom, K.J. 90 176 230
Autocorrelation coefficient 19
Autocorrelation function 29—31
Autocorrelation function of various models 32—40
Autocorrelation function, estimation of 49—53
Autocovariance coefficients 20 29
Autocovariance coefficients, circular 121
Autocovariance function 28 29
Autocovariance function, estimation of 49—53
Autocovariance generating function 47
Automatic forecasting procedure 67 80
Autoregressive (AR) process 35—40
Autoregressive (AR) process, estimation for 53—56
Autoregressive (AR) process, spectrum of 100 165
Autoregressive (AR) process, state-space representation 185
Autoregressive / moving-average (ARMA) process 40—42 59
Autoregressive spectrum estimation 230—231
Back forecasting 57
Band-limited 126
Bandwidth 124
Banerjee, A. 224
Barksdale, H.C. 145
Bartlett window 114
Bartlett, M.S. 94 212
Basic structural model 184
Bayesian forecasting 76 185
Bayesian vector autoregression 222
BDS test 213
Bendat, J.S. 119
Beran, J. 234
Berliner, L.M. 212
Beveridge wheat price index series 1
Bhattacharyya, M.N. 78
BIC criterion 226
Bilinear model 201
Binary process 4
Bispectrum 198
Bivariate process 136—147
Blake, I.F. 231
Bloomfield, P. 8 107 119 122 227
Boero, G. 223
Bollerslev, T. 205
Bolstad, M.W. 186
Box — Cox transformation 12
Box — Jenkins approach 71 173
Box — Jenkins control 173—176 230
Box — Jenkins forecasting 71—75 81—82 84 251
Box — Jenkins seasonal model 60 255
Box, G.E.P. 7 8 17 18 34—35 38 41 56—62 64 71 73 77 90 140 149 170 173—175 177—178 196 219 227 230 233 251—252 254
Brass, W. 3 7
Brillinger, D.R. 8 225
Brock, W.A. 198 213
Brockwell, P.J. 8
Brown, R.G. 7 76 78
Business cycles 10
Butter, F.A.G. den 18
Calendar effects 18
CAT criterion 226
Chang, I. 233
Change points 228
Chaos 210—213
Chatfield, C. 2 64 68 71 80—82 84 131 175 185 188 209 228—229 236 243 248 257
Chen, C. 233
Cheng, B. 206
Choi, B. 225
Clemen, R.T. 229
Cleveland, W.S. 18 233 257
Closed-loop system 176 177
Co-integration 223
Co-spectrum 141
Cochrane, D. 77
Coen, P.J. 139
Coherency 142
Combination of forecasts 84 229
Complex demodulation 227
Computer packages 246
Continuous process 43
Continuous time series 4
Continuous trace 2
Control theory 7 229—230
Convolution 16
Cooley, J.W. 118
Correlation coefficient 19 243
Correlogram 20 51
Covariance 243—244
Cox, D.R. 4 27 44 90 94 225—226 237
Craddock, J.M. 131
Cramer, H. 231
Cressie, N. 232 236
Cross-amplitude spectrum 141
Cross-correlation function 137—140
Cross-covariance function 136—139
Cross-periodogram 146
Cross-spectrum 140—147
Crossing points 231
Curve-fitting 13
Cyclic changes 9
Daniell, P.J. 117
Davies, N. 62
Davis, M.H.A. 230
Dejong, D.N. 235
Delayed exponential response 152
Delphi Technique 66
Delta function 152 241—242
Descriptive methods 9
Deterministic process 45
Deterministic series 5
Diagnostic checking 72
Dickey — Fuller test 235
Difference-stationary series 235
Differencing 17 18
Diggle, P.J. 8 232 233
digitizing 125 132
Dirac delta function 152 241—242
Discounted least squares 76
Discrete time series 5
Distributed lag model 173 219
Donoho, D.L. 232
Double exponential smoothing 76
Durbin — Watson statistic 62
Durbin, J. 17 57
Dynamic linear model 186
Econometric model 76 78
Economic time series 1
End effects 14
Endogenous variables 78
Engle, R.F. 223
Ensemble 27
| Equilibrium distribution 29
Ergodic theorems 52
Error-correction form 69
Evolutionary spectrum 195
Ex ante forecast 77
Ex post forecast 77
Exogenous variable 78
Exponential response 152 160
Exponential smoothing 15 68—70 183 191
Extended Kalman filter 190
Fast Fourier Transform 118—121
Feedback control 176—178
Fenton, R. 121
Fildes, R. 81 186
Filter 13
Filtering 90
Final prediction error (FPE) criterion 226
Forecasting 7 66—91
Forecasting competition 79
Fourier analysis 105—109
Fourier transform 97 237—240
Fractional ARIMA model 234—236
frequency 92
Frequency domain 7
Frequency response function 154
Frequency response function, estimation of 170—173
Fuller, A.T. 230
Fuller, W.A. 8
Gain 152 155 158
Gain spectrum 142
GARCH model 205
Gardner, E.S. 68—69 71 84
General exponential smoothing 76
General linear process 43 196
Gilchrist, W. 68
Gleick, J. 210
Global trend 13 184
Gompertz curve 13 68
Goodman, N.R. 173
Gooijer, J.G. 225
Gottman, J.M. 8
Granger, C.W.J. 10 12 59 68 71 77—79 129 132 146 176 178 195 202 213 215 223 236
Griffiths, L.J. 231
Grimmett, G.R. 27
Groot, C. de 209
Growth curve 68
Gudmundsson, G. 173
Gustavsson, I. 177
Hamming 116
Hamming, R.W. 116
Hamon, B.V. 145
Hand, D.J. 195 260
Hann, Julius Von 116
Hannan — Rissanen procedure 59
Hannan, E.J. 8 114—115 122 129 225 232
Hanning 116
Harmonic 113 132
Harmonic analysis 109
Harrison, P.J. 68 76
Harvey, A.C. 8 76 78 181 185 187—188 203 206 215 224
Hasan, T. 227
Haubrich, R.A. 145
Haugh, L.D. 175
Hause, J.C. 159 173
Henderson moving average 14
High frequency spectrum 99
High-pass filter 15 159 168
Hillmer, S. 233
Holt — Winters procedure 70—71 80 84
Holt, C.C. 68
Hoptroff, R.G. 209
Hsu, H.P. 238 242
Huot, G. 75
Hylleberg, S. 18
Impulse response function 150 152
Impulse response function, estimation of 175
Integrated model 42 59
Intervention analysis 227
Inverse ac.f. 225
Invertibility 34
Isham, V. 210
Jackknife estimation 50
Jacobs, O.L.R. 230
Janacek, G. 181
Jenkins, G.M. 8 49 50 55 71 81 93 97 101 111 115 120—122 124 131 136 139 146 157 161 173 175 237
Jones, R.H. 231—233
Kadiyala, K.R. 222—223
Kalman filtering 59 181 185 187—190
Kendall, Sir Maurice 8 14 18 25 51 59 63 78 98 141
Kenny, P.B. 14
Kernel 122
Khintchine, A.Y. 94
Kitagawa, G. 190
Kohn, R. 185
Kolmogorov, A.N. 89 230
Kriging 232
Lag 29
Lag window 114
Landers, T.F. 226
Langevin equation 44
Laplace transform 156 157 239
Lawrance, A.J. 212
lead time 66
Levenbach, H. 13
Lindgren, B.W. 243
Linear filter 13
Linear growth model 184 191
Linear model 196
Linear system 6 149—180
Linear system, identification of 169—178
Ljung, G.M. 62
Ljung, L. 149
Local trend 13 184
Logistic curve 13 68
Logistic map 210
Long memory model 234
Longitudinal data 233
Low frequency spectrum 99
Low-pass filter 15 159 168
LOWESS 233
Lutkepohl, H. 222 224
M-competition 80
MacKay, D.B. 132
Makridakis, S. 79—81 84
Mann, H.B. 54
Markov process 35 103
Markov, A.A. 35
Martin, R.D. 6
Martingale 198
May, R.M. 213
Meade, N. 13 68
Mean 28
Median smoother 233
Meinhold, R.J. 188 233
Mills, T.C. 8
Minitab 246 252—257
Missing observations 232
Mixed ARMA model 40—42
Mixed ARMA model, estimation for 59
Model building 63—64 187
Model uncertainty 228—229
Montgomery, D.C. 68
Mooers, C.N.K. 131
Moving Average 14
Moving average (MA) process 33—35
Moving average (MA) process, estimation for 56—58
Moving average (MA) process, spectrum of 99 164
Multiple regression 76—78
Multiplicative seasonal effect 17
Multivariate forecast 67 76—79 81
|
|
|
| Реклама |
|
|
|
|
|
О проекте