By Daniel Peña; George C Tiao; Ruey S Tsay
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Extra resources for A course in time series analysis
93, 328-340. Lutkepohl, H. (1993). Introduction to Multiple Time-Series Analysis. Springer-Verlag, Berlin. Morettin, P. (1999). Ondas e Ondaletas. Edusp, Sao-Paulo. Pandit, D. M. and Wu, S. M. (1983). Time Series and System Analysis with Applications. Wiley, New York. Priestley, Μ. B. (1981). Spectral Analysis and Time Series. Academic Press, Orlando, FL. Priestley, Μ. B. (1988). Non-linear and Non-stationary Time Series Analysis. Academic Press, Orlando, FL. Quenouille, Μ. H. (1957). The Analysis of Multiple Time-Series.
The general linear model is capable of representing a wide variety of series. For some series, of which the carbon dioxide concentration is a good example, there may well be a fixed trend and seasonality, or other deterministic component, which is best removed before applying A R I M A modeling to the remaining variation such as that shown in Figure 2. lb. For most series, though not all, such a deterministic component consists of just a constant term, which is normally assumed as part of the A R I M A model.
Press, Cambridge, INTRODUCTION 20 Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco. Box, G. E. , Jenkins, G. M. and Reinsel, G. (1994). Time Series Analysis: Forecasting and Control, 3rd ed. Prentice-Hall, Englewood Cliffs, NJ. Box, G. E. P. and Tiao, G. C. (1975). Intervention analysis with applications to economic and environmental problems. J. Am. Stat. Assoc. 75, 70-79. Box, G. E. P. and Tiao, G. C. (1977). A canonical analysis of multiple time series.
A course in time series analysis by Daniel Peña; George C Tiao; Ruey S Tsay