Chatfield C. — The Analysis of Time Series: An Introduction :: Электронная библиотека попечительского совета мехмата МГУ

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Chatfield C. — The Analysis of Time Series: An Introduction

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Название: The Analysis of Time Series: An Introduction

Автор: Chatfield C.

Аннотация:

A textbook for graduate and undergraduate students taking courses in time series. Topics include probability models, Box-Jenkins forecasting, spectral analysis, linear systems, and system identification.

Язык:

Рубрика: Математика/Вероятность/Статистика и приложения/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Издание: Fifth Edition

Год издания: 1996

Количество страниц: 304

Добавлена в каталог: 01.06.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID

Предметный указатель

Multivariate normal distribution      30
Multivariate time series      216—224
Murray, M.P.      223
Nason, G.P.      232
Naylor, T.H.      81
Neave, H.R.      115 122
Nelson, H.L.      12
Neural nets      206—210
Newbold, P.      62 79 185 225 235
Nicholls, D.F.      200
Noise      90
Non-linear autoregressive model      198
Non-linear models      193—215
Non-stationary series      22 226—228
Normal process      30 31
Normalized spectral density function      98
Nyquist frequency      94 108—109
Observation equation      182
Open-loop system      176
Otomo, T.      178
Outlier      6 24 196 233
Pagano, M.      27
Pankratz, A.      219
Papoulis, A.      27
Parseval's theorem      110 135
Partial autocorrelation function      65
Parzen window      114
Parzen, E.      27 76 232
Pena, D.      218
Percival, D.B.      120 260
Periodogram      109—113
Phase      92 110 158
Phase shift      155
Phase spectrum      142
Physically realizable      150
Pierce, D.A.      81 176
Pocock, S.J.      107
Point process      4
Pole, A.      186
Polynomial curve      13 68
Polyspectra      198
Portmanteau test      62
Prediction      6 90
Prediction interval      68 85 214
Prediction stage      187
Prediction theory      89—90
Prewhitening      129
Priestley, M.B.      8 49 50 59 79 105 119 120 122 140 146 177 195 203 215 222 226—227 230 232
Process control      3
Projection method      67
Prothero, D.L.      87
Purely indeterministic process      45
Purely random process      31 197
Quadrature spectrum      141
Random walk      32
Realization      4 27
Recurrence form      69
Regime-switching model      203
Regression model      76 186
Reid, D.J.      79
Reinsel, G.C.      8 222 224
Residuals      61
Ripley, B.D.      206 208—209 236
Roberts, J.B.      232
Robust methods      6 233
Sampled series      5
Sande, G.      119
Santa Fe competition      209
Scenario analysis      229
Schoemaker, P.J.H.      229
Schuster, A.      105
Schwartz criterion      226
Schwarz, R.J.      157 241
Seasonal adjustment      18
Seasonal model      17 60
Seasonal variation      9 11 17 22
Second-order stationary      29
Semivariogram      232
Serial correlation coefficient      19
signal      90
Signal-to-noise ratio      183
Sinusoidal variation      92 101 106
Slutsky effect      15
Smith, J.      236
Smoothing constant      70
Snodgrass, F.E.      131
Spatial data      232 236
Spectral analysis      105—135
Spectral density function      92 96—102
Spectral density function of an AR process      100 165
Spectral density function of an MA process      99 164

Spectral density function, estimation of      105—135
Spectral distribution function      92
Spectral representation      94
Spectral window      122
Spectrogram      111
Spectrum      96
Spencer's 15 point moving average      14 16
Spencer, D.E.      222
SPLINE      14 232
Stable system      150 157
State variable      181
State vector      181
State-spacemodel      181—187
Stationary distribution      29
Stationary process      28
Stationary time series      10
Steady model      183
Steady state      156
Step response function      152—154
Stepwise autoregression      75
Stochastic process      27 31
Stochastic series      5
Strang, G.      232
Strictly stationary      28
Structural modelling      76 184—185
Subjective forecasts      66
Sutcliffe, A.      236
System equation      182
Systems approach      68
Tapering      120
Taylor, P.F.      186
Taylor, S.J.      206
Tee, L.H.      14
Teraesvirta, T.      201
Tetley, H.      14
Threshold models      200
Tiao.G.C.      201 222
Time domain      7 49
Time invariance      149
Time plot      11 257—259
Tomasek, O.      87
Tong, H.      195 201 203 210 213—215 231 236
Transfer function      157
Transfer function model      174 176 219
Transformations      11
Transient      156
Transition equation      182
Trend      10 12 13 184
Trend curve      68
Trend-stationary series      235
Truncation point      114
Tukey window      114
Tukey, J.W.      119
Tyssedal, J.S.      227
Unequal intervals      232
Unit root testing      235
Univariate forecast      68
Updating equations      188
V ARM AX model      221
Vandaele, W.      8 71
Variance      28
Variogram      232
VARMA model      221
Vector autoregressive model      219—221
Velleman, P.F.      223
Wald, A.      54
Walker, Sir Gilbert      38
Wallis, K.F.      18
Wavelength      93
Wavelets      231—232
Weakly stationary      30
Wegman, E.J.      14 199
Wei, W.W.S.      8 223
Weigend, A.S.      206 209
West, M.      76 185—186 224
Wetherill, G.B.      4
White noise      32 197
Whittle, P.      87 90
Wiener — Hopf equation      171
Wiener — Khintchine theorem      94
Wiener, N.      89 90 94 230
Winters, P.R.      70
Wold decomposition      44
Wold, H.O.      72
Wright, G.      66
X-11 method      18
Yaglom, A.M.      27 44 48 53 89 90 239
Yao, Q.      212
Young, P.C.      175
Yule — Walker equations      38 55
Yule, G.U.      38 72
Z transform      157 239

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