The Foundations Of Modern Time Series Analysis

Hardcover | September 15, 2011

byTerence C. Mills

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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.

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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.

TERENCE MILLS is Professor of Applied Statistics and Econometrics at Loughborough University, UK, having previously held professorial appointments at City University Business School and the University of Hull, UK. He has over 200 publications in a wide range of areas, including The Palgrave Handbook of Econometrics, Volumes 1 and 2 (c...

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Format:HardcoverDimensions:480 pages, 9.53 × 6.34 × 1.43 inPublished:September 15, 2011Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230290183

ISBN - 13:9780230290181

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Table of Contents

Prolegomenon: A Personal Perspective and an Explanation of the Structure of the Book
Yule and Hooker and the Concepts of Correlation and Trend
Schuster, Beveridge and Periodogram Analysis
Detrending and the Variate Difference Method: Student, Pearson and their Critics
Nonsense Correlations, Random Shocks and Induced Cycles: Yule, Slutzky and Working
Periodicities in Sunspots and Air Pressure: Yule, Walker and the Modelling of Superposed Fluctuations and Disturbances
The Formal Modelling of Stationary Time Series: Wold and the Russians
Generalizations and Extensions of Stationary Autoregressive Models: from Kendall to Box and Jenkins
Statistical Inference, Estimation and Model Building for Stationary Time Series
Dealing with Nonstationarity: Detrending, Smoothing and Differencing
Forecasting Nonstationary Time Series
Modelling Dynamic Relationships Between Time Series
Spectral Analysis of Time Series: the Periodogram Revisited and Reclaimed
Tacking Seasonal Patterns in Time Series
Emerging Themes
The Scene is Set
References