The Foundations of Modern Time Series Analysis [electronic resource] /
Mills, Terence C.author.
This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.
Description based upon print version of record.
Cover; Contents; List of Tables; List of Figures; 1 Prolegomenon: A Personal Perspective and an Explanation of the Structure of the Book; 2 Yule and Hooker and the Concepts of Correlation and Trend; 3 Schuster, Beveridge and Periodogram Analysis; 4 Detrending and the Variate Differencing Method: Student, Pearson and Their Critics; 5 Nonsense Correlations, Random Shocks and Induced Cycles: Yule, Slutzky and Working; 6 Periodicities in Sunspots and Air Pressure: Yule, Walker and the Modelling of Superposed Fluctuations and Disturbances
7 The Formal Modelling of Stationary Time Series: Wold and the Russians8 Generalizations and Extensions of Stationary Autoregressive Models: From Kendall to Box and Jenkins; 9 Statistical Inference, Estimation and Model Building for Stationary Time Series; 10 Dealing with Nonstationarity: Detrending, Smoothing and Differencing; 11 Forecasting Nonstationary Time Series; 12 Modelling Dynamic Relationships Between Time Series; 13 Spectral Analysis of Time Series: The Periodogram Revisited and Reclaimed; 14 Tackling Seasonal Patterns in Time Series; 15 Emerging Themes; 16 The Scene is Set; Notes
ReferencesIndex
Includes bibliographical references and index.
This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.
Economic theory.
Economic history.
Statistics .
Econometrics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Economic History.
Statistics for Business, Management, Economics, Finance, Insurance.
Econometrics.