Introduction to Time Series and Forecasting,

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Introduction to Time Series and Forecasting, Second Edition

Peter J. Brockwell Richard A. Davis

Springer

Springer Texts in Statistics
Advisors: George Casella Stephen Fienberg Ingram Olkin

Springer
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Peter J. Brockwell Richard A. Davis

Introduction to Time Series and Forecasting
Second Edition

With 126 Illustrations

Includes CD-ROM

13

Peter J. Brockwell Department of Statistics Colorado State University Fort Collins, CO 80523 USA pjbrock@stat.colostate.edu Editorial Board George Casella Department of Statistics Griffin-Floyd Hall University of Florida P.O. Box 118545 Gainesville, FL 32611-8545 USA

Richard A. Davis Department of Statistics Colorado State University Fort Collins, CO 80523 USA rdavis@stat.colostate.edu

Stephen Fienberg Department of Statistics Carnegie Mellon University Pittsburgh, PA 15213-3890 USA

Ingram Olkin Department of Statistics Stanford University Stanford, CA 94305 USA

Library of Congress Cataloging-in-Publication Data Brockwell, Peter J. Introduction to time series and forecasting / Peter J. Brockwell and Richard A. Davis.—2nd ed. p. cm. — (Springer texts in statistics) Includes bibliographical references and index. ISBN 0-387-95351-5 (alk. paper) 1. Time-series analysis. I. Davis, Richard A. II. Title. III. Series. QA280.B757 2002 519.5 5—dc21 2001049262 Printed on acid-free paper.

© 2002, 1996 Springer-Verlag New York, Inc. All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publishers (Springer-Verlag New York, Inc., 175 Fifth Avenue, New York, NY 10010, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use of general descriptive names, trade names, trademarks, etc., in this publication, even if the former are not especially identified, is not to be taken as a sign that such names, as understood by the Trade Marks and Merchandise Marks Act, may accordingly be used freely by anyone. Production managed by MaryAnn Brickner; manufacturing supervised by Joe Quatela. Typeset by The Bartlett Press, Inc., Marietta, GA. Printed and bound by R.R. Donnelley and Sons, Harrisonburg, VA. Printed in the United States of America. 9 8 7 6 5 4 3 2 1 ISBN 0-387-95351-5 SPIN 10850334

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Disclaimer: This eBook does not include the ancillary media that was packaged with the original printed version of the book.

To Pam and Patti

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Preface

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied in economics, engineering and the natural and social sciences. Unlike our earlier book, Time Series: Theory and Methods, referred to in the text as TSTM, this one requires only a knowledge of basic calculus, matrix algebra and elementary statistics at the level (for example) of Mendenhall, Wackerly and Scheaffer (1990). It is intended for upper-level undergraduate students and beginning graduate students. The emphasis is on methods and the analysis of data sets. The student version of the time series package ITSM2000, enabling the reader to reproduce most of the calculations in the text (and to analyze further data sets of the reader’s own choosing), is included on the CD-ROM which accompanies the book. The data sets used in the book are also included. The package requires an IBM-compatible PC operating under Windows 95, NT version 4.0, or a later version of either of these operating systems. The program ITSM can be run directly from the CD-ROM or...
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