Major topics include:
- Moving average and autoregressive processes
- Introduction to Fourier analysis
- Spectral theory and filtering
- Large sample theory
- Estimation of the mean and autocorrelations
- Estimation of the spectrum
- Parameter estimation
- Regression, trend, and seasonality
- Unit root and explosive time series
To accommodate a wide variety of readers, review material, especially on elementary results in Fourier analysis, large sample statistics, and difference equations, has been included.
Introduction to Fourier Analysis.
Spectral Theory and Filtering.
Some Large Sample Theory.
Estimation of the Mean and Autocorrelations.
The Periodogram, Estimated Spectrum.
Regression, Trend, and Seasonality.
Unit Root and Explosive Time Series.