Previous Page | Next Page

Time Series Analysis and Examples

References

Afifi, A. A. and Elashoff, R. M. (1967), “Missing Observations in Multivariate Statistics II. Point Estimation in Simple Linear Regression,” Journal of the American Statistical Association, 62, 10–29.

Akaike, H. (1974), “A New Look at Statistical Model Identification,” IEEE Transactions on Automatic Control, 19, 716–723.

Akaike, H. (1977), “On Entropy Maximization Principle,” in P. R. Krishnaiah, ed., Applications of Statistics, 27–41, Amsterdam: North Holland Publishing.

Akaike, H. (1978a), “A Bayesian Analysis of the Minimum AIC Procedure,” Ann. Inst. Statist. Math., 30, 9–14.

Akaike, H. (1978b), “Time Series Analysis and Control through Parametric Models,” in D. F. Findley, ed., Applied Time Series Analysis, 1–23, New York: Academic Press.

Akaike, H. (1979), “A Bayesian Extension of the Minimum AIC Procedure of Autoregressive Model Fitting,” Biometrika, 66, 237–242.

Akaike, H. (1980a), “Likelihood and the Bayes Procedure,” in J. M. Bernardo, M. H. DeGroot, D. V. Lindley, and M. Smith, eds., Bay Statistics, 143–166, Valencia, Spain: University Press.

Akaike, H. (1980b), “Seasonal Adjustment by a Bayesian Modeling,” Journal of Time Series Analysis, 1, 1–13.

Akaike, H. (1981), “Likelihood of a Model and Information Criteria,” Journal of Econometrics, 16, 3–14.

Akaike, H. (1986), “The Selection of Smoothness Priors for Distributed Lag Estimation,” in P. Goel and A. Zellner, eds., Bayesian Inference and Decision Techniques, 109–118, Elsevier Science.

Akaike, H. and Ishiguro, M. (1980), “Trend Estimation with Missing Observations,” Ann. Inst. Statist. Math., 32, 481–488.

Akaike, H. and Nakagawa, T. (1988), Statistical Analysis and Control of Dynamic Systems, Tokyo: KTK Scientific.

Anderson, T. W. (1971), The Statistical Analysis of Time Series, New York: John Wiley & Sons.

Ansley, C. F. (1980), “Computation of the Theoretical Autocovariance Function for a Vector ARMA Process,” Journal of Statistical Computation and Simulation, 12, 15–24.

Ansley, C. F. and Kohn, R. (1986), “A Note on Reparameterizing a Vector Autoregressive Moving Average Model to Enforce Stationary,” Journal of Statistical Computation and Simulation, 24, 99–106.

Brockwell, P. J. and Davis, R. A. (1991), Time Series: Theory and Methods, Second Edition, New York: Springer-Verlag.

Chung, C. F. (1996), “A Generalized Fractionally Integrated ARMA Process,” Journal of Time Series Analysis, 2, 111–140.

De Jong, P. (1991), “The Diffuse Kalman Filter,” Annals of Statistics, 19, 1073–1083.

Doan, T., Litterman, R., and Sims, C. (1984), “Forecasting and Conditional Projection Using Realistic Prior Distributions,” Econometric Reviews.

Gersch, W. and Kitagawa, G. (1983), “The Prediction of Time Series with Trends and Seasonalities,” Journal of Business and Economic Statistics, 1, 253–264.

Geweke, J. and Porter-Hudak, S. (1983), “The Estimation and Application of Long Memory Time Series Models,” Journal of Time Series Analysis, 4, 221–238.

Granger, C. W. J. and Joyeux, R. (1980), “An Introduction to Long Memory Time Series Models and Fractional Differencing,” Journal of Time Series Analysis, 1, 15–39.

Harvey, A. C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge: Cambridge University Press.

Hosking, J. R. M. (1981), “Fractional Differencing,” Biometrika, 68, 165–176.

Ishiguro, M. (1984), “Computationally Efficient Implementation of a Bayesian Seasonal Adjustment Procedure,” Journal of Time Series Analysis, 5, 245–253.

Ishiguro, M. (1987), “TIMSAC-84: A New Time Series Analysis and Control Package,” Proceedings of American Statistical Association: Business and Economic Section.

Jones, R. H. and Brelsford, W. M. (1967), “Time Series with Periodic Structure,” Biometrika, 54, 403–408.

Kitagawa, G. (1981), “A Nonstationary Time Series Model and Its Fitting by a Recursive Filter,” Journal of Time Series Analysis, 2, 103–116.

Kitagawa, G. (1983), “Changing Spectrum Estimation,” Journal of Sound and Vibration, 89, 433–445.

Kitagawa, G. and Akaike, H. (1978), “A Procedure for the Modeling of Non-stationary Time Series,” Ann. Inst. Statist. Math., 30, 351–363.

Kitagawa, G. and Akaike, H. (1981), “On TIMSAC-78,” in D. F. Findley, ed., Applied Time Series Analysis II, 499–547, New York: Academic Press.

Kitagawa, G. and Akaike, H. (1982), “A Quasi Bayesian Approach to Outlier Detection,” Ann. Inst. Statist. Math., 34, 389–398.

Kitagawa, G. and Gersch, W. (1984), “A Smoothness Priors-State Space Modeling of Time Series with Trend and Seasonality,” Journal of the American Statistical Association, 79, 378–389.

Kitagawa, G. and Gersch, W. (1985a), “A Smoothness Priors Long AR Model Method for Spectral Estimation,” IEEE Transactions on Automatic Control, 30, 57–65.

Kitagawa, G. and Gersch, W. (1985b), “A Smoothness Priors Time-Varying AR Coefficient Modeling of Nonstationary Covariance Time Series,” IEEE Transactions on Automatic Control, 30, 48–56.

Kohn, R. and Ansley, C. F. (1982), “A Note on Obtaining the Theoretical Autocovariances of an ARMA Process,” Journal of Statistical Computation and Simulation, 15, 273–283.

Li, W. K. and McLeod, A. I. (1986), “Fractional Time Series Modeling,” Biometrika, 73, 217–221.

Lütkepohl, H. (1993), Introduction to Multiple Time Series Analysis, Berlin: Springer-Verlag.

Mittnik, S. (1990), “Computation of Theoretical Autocovariance Matrices of Multivariate Autoregressive Moving Average Time Series,” Journal of Royal Statistical Society.

Nelson, C. R. and Plosser, C. I. (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10, 139–162.

Pagano, M. (1978), “On Periodic and Multiple Autoregressions,” The Annals of Statistics, 6, 1310–1317.

Reinsel, G. C. (1997), Elements of Multivariate Time Series Analysis, Second Edition, New York: Springer-Verlag.

Sakamoto, Y., Ishiguro, M., and Kitagawa, G. (1986), Akaike Information Criterion Statistics, Tokyo: KTK Scientific.

Shiller, R. J. (1973), “A Distributed Lag Estimator Derived from Smoothness Priors,” Econometrica, 41, 775–788.

Shumway, R. H. (1988), Applied Statistical Time Series Analysis, Englewood Cliffs, NJ: Prentice-Hall.

Sowell, F. (1992), “Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models,” Journal of Econometrics, 53, 165–188.

Tamura, Y. H. (1986), “An Approach to the Nonstationary Process Analysis,” Ann. Inst. Statist. Math., 39, 227–241.

Wei, W. W. S. (1990), Time Series Analysis: Univariate and Multivariate Methods, Redwood: Addison-Wesley.

Whittaker, E. T. (1923), “On a New Method of Graduation,” Proceedings of the Edinborough Mathematical Society, 41, 63–75.

Whittaker, E. T. and Robinson, G. (1944), Calculus of Observation, Fourth Edition, London: Blackie & Son Limited.

Zellner, A. (1971), An Introduction to Bayesian Inference in Econometrics, New York: John Wiley & Sons.

Previous Page | Next Page | Top of Page