Introduction to Time Series Analysis and Forecasting / Edition 1

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An accessible introduction to the most current thinking in and practicality of forecasting techniques in the context of time-oriented data Analyzing time-oriented data and forecasting are among the most important problems that analysts face across many fields, ranging from finance and economics to production operations and the natural sciences. As a result, there is a widespread need for large groups of people in a variety of fields to understand the basic concepts of time series analysis and forecasting. Introduction to Time Series Analysis and Forecasting presents the time series analysis branch of applied statistics as the underlying methodology for developing practical forecasts, and it also bridges the gap between theory and practice by equipping readers with the tools needed to analyze time-oriented data and construct useful, short- to medium-term, statistically based forecasts. Seven easy-to-follow chapters provide intuitive explanations and in-depth coverage of key forecasting topics, including:
• Regression-based methods, heuristic smoothing methods, and general time series models
• Basic statistical tools used in analyzing time series data
• Metrics for evaluating forecast errors and methods for evaluating and tracking forecasting performanceover time
• Cross-section and time series regression data, least squares and maximum likelihood model fitting, model adequacy checking, prediction intervals, and weighted and generalized least squares
• Exponential smoothing techniques for time series with polynomial components and seasonal data
• Forecasting and prediction interval construction with a discussion on transfer function models as well as intervention modeling and analysis
• Multivariate time series problems, ARCH and GARCH models, and combinations of forecasts The ARIMA model approach with a discussion on how to identify and fit these models for non-seasonal and seasonal time series The intricate role of computer sof

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Editorial Reviews

From the Publisher
"This would be an appropriate source for use in a first course intime series analysis. It might also be useful as a reference forresearchers who want to apply time series analysis to their datasets." (CHOICE, October 2008)

"The result is a book that can be used with a wide variety ofaudiences, with different interests and technical backgrounds,whose common interests are understanding how to analyzetime-oriented data and constructing good short-term statisticallybased forecasts." (Mathematical Reviews, 2008m)

"The book is great for readers who need to apply the methods andmodels presented but have little background in mathematics andstatistics." (MAA Reviews,  July 2008)

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Product Details

  • ISBN-13: 9780471653974
  • Publisher: Wiley
  • Publication date: 1/14/2008
  • Series: Wiley Series in Probability and Statistics Series , #526
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 472
  • Sales rank: 1,423,342
  • Product dimensions: 3.70 (w) x 11.40 (h) x 1.17 (d)

Meet the Author

Douglas C. Montgomery, PhD, is Regents' Professor and ADUFoundation Professor of Engineering  at Arizona StateUniversity. With over 35 years of academic and consultingexperience, Dr. Montgomery has authored or coauthored over 250journal articles and 13 books. His research interests includedesign and analysis of experiments, statistical methods for processmonitoring and optimization, and the analysis of time-orienteddata.

Cheryl L. Jennings, PhD, is a Process Design Consultant withBank of America. An active member of both the American StatisticalAssociation and the American Society for Quality, her areas ofresearch and profession interest include Six Sigma, modeling andanalysis, and process control and improvement.

Murat Kulahci, PhD, is Associate Professor of Informaticsand Mathematical Modelling at the Technical University of Denmark.The author of over 30 journal articles, Dr. Kulahci’sresearch interests include time series analysis, design ofexperiments, and statistical process control and monitoring.

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Table of Contents

Preface ix

1. Introduction to Forecasting 1

1.1 The Nature and Uses of Forecasts, 1

1.2 Some Examples of Time Series, 5

1.3 The Forecasting Process, 12

1.4 Resources for Forecasting, 14

2. Statistics Background for Forecasting 18

2.1 Introduction, 18

2.2 Graphical Displays, 19

2.3 Numerical Description of Time Series Data, 25

2.4 Use of Data Transformations and Adjustments, 34

2.5 General Approach to Time Series Modeling and Forecasting,46

2.6 Evaluating and Monitoring Forecasting Model Performance,49

3. Regression Analysis and Forecasting 73

3.1 Introduction, 73

3.2 Least Squares Estimation in Linear Regression Models, 75

3.3 Statistical Inference in Linear Regression, 84

3.4 Prediction of New Observations, 96

3.5 Model Adequacy Checking, 98

3.6 Variable Selection Methods in Regression, 106

3.7 Generalized and Weighted Least Squares, 111

3.8 Regression Models for General Time Series Data, 133

4. Exponential Smoothing Methods 171

4.1 Introduction, 171

4.2 First-Order Exponential Smoothing, 176

4.3 Modeling Time Series Data, 180

4.4 Second-Order Exponential Smoothing, 183

4.5 Higher-Order Exponential Smoothing, 193

4.6 Forecasting, 193

4.7 Exponential Smoothing for Seasonal Data, 210

4.8 Exponential Smoothers and ARIMA Models, 217

5. Autoregressive Integrated Moving Average (ARIMA) Models231

5.1 Introduction, 231

5.2 Linear Models for Stationary Time Series, 231

5.3 Finite Order Moving Average (MA) Processes, 235

5.4 Finite Order Autoregressive Processes, 239

5.5 Mixed Autoregressive–Moving Average (ARMA) Processes,253

5.6 Nonstationary Processes, 256

5.7 Time Series Model Building, 265

5.8 Forecasting ARIMA Processes, 275

5.9 Seasonal Processes, 282

5.10 Final Comments, 286

6. Transfer Functions and Intervention Models 299

6.1 Introduction, 299

6.2 Transfer Function Models, 300

6.3 Transfer Function–Noise Models, 307

6.4 Cross Correlation Function, 307

6.5 Model Specification, 309

6.6 Forecasting with Transfer Function–Noise Models,322

6.7 Intervention Analysis, 330

7. Survey of Other Forecasting Methods 343

7.1 Multivariate Time Series Models and Forecasting, 343

7.2 State Space Models, 350

7.3 ARCH and GARCH Models, 355

7.4 Direct Forecasting of Percentiles, 359

7.5 Combining Forecasts to Improve Prediction Performance,365

7.6 Aggregation and Disaggregation of Forecasts, 369

7.7 Neural Networks and Forecasting, 372

7.8 Some Comments on Practical Implementation and Use ofStatistical Forecasting Procedures, 375

Appendix A. Statistical Tables 387

Appendix B. Data Sets for Exercises 407

Bibliography 437

Index 443

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