Introduction to Time Series and Forecasting
This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elemen
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Peter J. Brockwell Richard A. Davis
Introduction to Time Series and Forecasting Third Edition
Springer Texts in Statistics Series Editors: R. DeVeaux S. Fienberg I. Olkin
More information about this series at http://www.springer.com/series/417
Peter J. Brockwell • Richard A. Davis
Introduction to Time Series and Forecasting Third Edition
123
Richard A. Davis Department of Statistics Columbia University New York, NY, USA
Peter J. Brockwell Department of Statistics Colorado State University Fort Collins, CO, USA
Additional material to this book can be downloaded from http://extras.springer.com. ISSN 1431-875X Springer Texts in Statistics ISBN 978-3-319-29852-8 DOI 10.1007/978-3-319-29854-2
ISSN 2197-4136 (electronic) ISBN 978-3-319-29854-2 (eBook)
Library of Congress Control Number: 2016939116 © Springer International Publishing Switzerland 1996, 2002, 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG Switzerland
To Pam and Patti
Preface
This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied in economics, engineering, and the natural and social sciences. Unlike our more advanced book, Time Series: Theory and Methods, Brockwell and Davis (1991), this one requires only a knowledge of basic calculus, matrix algebra and elementary statistics at the level, for example, of Mendenhall et al. (1990). It is intended for upper-level undergraduate students and beginning graduate students. The emphasis is on methods and the analysis of data sets. The professional version of the time series package ITSM2000, for Windows-based PC, enables the reader to reproduce most of the calculations in the text (and to analyze further data sets of the reader’s own choosing). It is available for download, together with most of the data sets used in the book, from http://extra
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