Advertisement

Time Series Models: Basics

  • David Ruppert
  • David S. Matteson
Part of the Springer Texts in Statistics book series (STS)

Abstract

A time series is a sequence of observations in chronological order, for example, daily log returns on a stock or monthly values of the Consumer Price Index (CPI). A common simplifying assumption is that the data are equally spaced with a discrete-time observation index; however, this may only hold approximately. For example, daily log returns on a stock may only be available for weekdays, with additional gaps on holidays, and monthly values of the CPI are equally spaced by month, but unequally spaced by days. In either case, the consecutive observations are commonly regarded as equally spaced, for simplicity. In this chapter, we study statistical models for time series. These models are widely used in econometrics, business forecasting, and many scientific applications.

References

  1. Alexander, C. (2001) Market Models: A Guide to Financial Data Analysis, Wiley, Chichester.Google Scholar
  2. Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (2008) Times Series Analysis: Forecasting and Control, 4th ed., Wiley, Hoboken, NJ.Google Scholar
  3. Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods, 2nd ed., Springer, New York.Google Scholar
  4. Brockwell, P. J. and Davis, R. A. (2003) Introduction to Time Series and Forecasting, 2nd ed., Springer, New York.Google Scholar
  5. Enders, W. (2004) Applied Econometric Time Series, 2nd Ed., Wiley, New York.Google Scholar
  6. Gourieroux, C., and Jasiak, J. (2001) Financial Econometrics, Princeton University Press, Princeton, NJ.Google Scholar
  7. Hamilton, J. D. (1994) Time Series Analysis, Princeton University Press, Princeton, NJ.Google Scholar
  8. Pfaff, B (2006) Analysis of Integrated and Cointegrated Time Series with R, Springer, New York.Google Scholar
  9. Tsay, R. S. (2005) Analysis of Financial Time Series, 2nd ed., Wiley, New York.Google Scholar

Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  • David Ruppert
    • 1
  • David S. Matteson
    • 2
  1. 1.Department of Statistical Science and School of ORIECornell UniversityIthacaUSA
  2. 2.Department of Statistical Science Department of Social StatisticsCornell UniversityIthacaUSA

Personalised recommendations