Introduction to Time Series and Forecasting
This book is aimed at the reader who wishes to gain a workingknowledge of time series and forecasting methods as applied toeconomics, engineering and the natural and social sciences. Itassumes knowledge only of basic calculus, matrix algebra andelementary statistics. This third edition contains detailedinstructions for the use of the professional version of theWindows-based computer package ITSM2000, now available as a freedownload from the Springer Extras website. The logic and tools oftime series model-building are developed in detail. Numerousexercises are included and the software can be used to analyze andforecast data sets of the user's own choosing. The book can also beused in conjunction with other time series packages such as thoseincluded in R. The programs in ITSM2000 however are menu-driven andcan be used with minimal investment of time in the computationaldetails.The core of the book covers stationary processes, ARMA and ARIMAprocesses, multivariate time series and state-space models, with anoptional chapter on spectral analysis. Many additional specialtopics are also covered.