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A First Course on Time Series Analysis : Examples with SAS

Please always quote using this URN: urn:nbn:de:bvb:20-opus-56489
  • The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work. The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS. Consequently this book addresses students of statistics as well as students of other branches such as economics, demographyThe analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work. The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS. Consequently this book addresses students of statistics as well as students of other branches such as economics, demography and engineering, where lectures on statistics belong to their academic training. But it is also intended for the practician who, beyond the use of statistical tools, is interested in their mathematical background. Numerous problems illustrate the applicability of the presented statistical procedures, where SAS gives the solutions. The programs used are explicitly listed and explained. No previous experience is expected neither in SAS nor in a special computer system so that a short training period is guaranteed. This book is meant for a two semester course (lecture, seminar or practical training) where the first three chapters can be dealt within the first semester. They provide the principal components of the analysis of a time series in the time domain. Chapters 4, 5 and 6 deal with its analysis in the frequency domain and can be worked through in the second term. In order to understand the mathematical background some terms are useful such as convergence in distribution, stochastic convergence, maximum likelihood estimator as well as a basic knowledge of the test theory, so that work on the book can start after an introductory lecture on stochastics. Each chapter includes exercises. An exhaustive treatment is recommended. Chapter 7 (case study) deals with a practical case and demonstrates the presented methods. It is possible to use this chapter independent in a seminar or practical training course, if the concepts of time series analysis are already well understood. This book is consecutively subdivided in a statistical part and an SAS-specific part. For better clearness the SAS-specific parts are highlighted. This book is an open source project under the GNU Free Documentation License.show moreshow less

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Metadaten
Author: Michael Falk, Frank Marohn, René Michel, Daniel Hofmann, Maria Macke, Bernward Tewes, Peter Dinges, Christoph Spachmann, Stefan Englert
URN:urn:nbn:de:bvb:20-opus-56489
Document Type:Book
Faculties:Fakultät für Mathematik und Informatik / Institut für Mathematik
Language:English
Year of Completion:2011
Source:http://statistik.mathematik.uni-wuerzburg.de/timeseries/
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
GND Keyword:Zeitreihenanalyse; Box-Jenkins-Verfahren; SAS <Programm>
Tag:Zustandsraummodelle
Box–Jenkins Program; Frequency Domain; State-Space Models; Time Series Analysis
MSC-Classification:37-XX DYNAMICAL SYSTEMS AND ERGODIC THEORY [See also 26A18, 28Dxx, 34Cxx, 34Dxx, 35Bxx, 46Lxx, 58Jxx, 70-XX] / 37Mxx Approximation methods and numerical treatment of dynamical systems [See also 65Pxx] / 37M10 Time series analysis
62-XX STATISTICS / 62Mxx Inference from stochastic processes / 62M10 Time series, auto-correlation, regression, etc. [See also 91B84]
Release Date:2011/05/11
Note:
Version: 2011-March-01
Creating Corporation:Universität Würzburg / Lehrstuhl für Statistik
Contributing Corporation:Universität Heidelberg / Institut für medizinische Biometrie und Informatik
Licence (German):License LogoDeutsches Urheberrecht