The Analysis of Time Series

Chris Chatfield is a retired Reader in Statistics at the University of Bath, UK, the author of five books and numerous research papers, and an elected Honorary Fellow of the International Institute of Forecasters. Haipeng Xing is an associate professor in Applied Mathematics and Statistics at the State University of New York, Stony Brook, USA, the author of two books and numerous research papers. His research interests include quantitative finance and risk management, econometrics, applied stochastic control, and sequential statistical methodology.

1. Introduction 2. Basic Descriptive Techniques 3. Some Linear Time Series Models 4. Fitting Time Series Models in the Time Domain 5. Forecasting 6. Stationary Processes in the Frequency Domain 7. Spectral Analysis 8. Bivariate Processes 9. Linear Systems 10. State-Space Models and the Kalman Filter 11. Non-Linear Models 12. Volatility Models 13. Multivariate Time Series Modelling 14. Some More Advanced Topics Appendix A Fourier, Laplace, and z-Transforms. Appendix B Dirac Delta Function. Appendix C Covariance and Correlation. Answers to Exercises.