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Introduction to Time Series Analysis and Forecasting (Montgomery)

 Author(s)  Douglas C. Montgomery, Cheryl L. Jennings, Murat Kulahci
 Title  Introduction to Time Series Analysis and Forecasting
 Edition  1st
 Year  March 28, 2008
 Publisher  Wiley
 ISBN  978-0-471-65397-4

FTP site with data sets and presentation slides

  • R code for various examples can be found under the Time Series page. 

Table of Contents

1. Introduction to Forecasting

1.1 The Nature and uses of Forecasts

1.2 Some Examples of Time Series

1.3 The Forecasting Process

1.4 Resources for Forecasting

2. Statistics Background for Forecasting

2.1 Introduction

2.2 Graphical Displays

2.3 Numerical Description of Time Series Data

2.4 Use of Data Transformations and Adjustments

2.5 General Approach to Time Series Analysis and Forecasting

2.6 Evaluating and Monitoring Forecasting Model Performance

3. Regression Analysis and Forecasting

3.1 Introduction

3.2 Least Squares Estimation in Linear Regression Models

3.3 Statistical Inference in Linear Regression

3.4 Prediction of New Observations

3.5 Model Adequacy Checking

3.6 Variable Selection Methods in Regression

3.7 Generalized and Weighted Least Squares

3.8 Regression Models for General Time Series Data

4. Exponential Smoothing Methods

4.1 Introduction

4.2 First-Order Exponential Smoothing

4.3 Modeling Time series Data

4.4 Second-Order Exponential Smoothing

4.5 Higher-Order Exponential Smoothing

4.6 Forecasting

4.7 Exponential Smoothing for Seasonal Data

4.8 Exponential Smoothers and ARIMA Models

5. Autoregressive Integrated Moving Average (ARIMA) Models

5.1 Introduction

5.2 Linear Models for Stationary Time Series

5.3 Finite Order Moving Average (MA) Processes

5.4 Finite Order Autoregressive Processes

5.5 Mixed Autoregressive-Moving Average (ARMA) Processes

5.6 Non-stationary Processes

5.7 Time Series Model Building

5.8 Forecasting ARIMA Processes

5.9 Seasonal Processes

5.10 Final Comments

6. Transfer Function and Intervention Models

6.1 Introduction

6.2 Transfer Function Models

6.3 Transfer Function-Noise Models

6.4 Cross Correlation Function

6.5 Model Specification

6.6 Forecasting with Transfer Function-Noise Models

6.7 Intervention Analysis

7. Survey of Other Forecasting Methods

7.1 Multivariate Time Series Models and Forecasting

7.2 State Space Models

7.3 ARCH and GARCH Models

7.4 Direct Forecasting of Percentiles

7.5 Combining Forecasts to Improve Prediction Performance

7.6 Aggregation and Disaggregation of Forecasts

7.7 Neural Networks and Forecasting

7.8 Some Comments on Practical Implementation and use of Statistical Forecasting Techniques



Appendix A Statistical Tables

Table A.1 Cumulative Normal Distribution

Table A.2 Percentage Points of the Chi-Square Distribution

Table A.3 Percentage Points of the t Distribution

Table A.4 Percentage Points of the F Distribution

Table A.5 Critical Values of the Durbin-Watson Statistic

Appendix B Data Sets for Exercises

Table B.1 Market Yield on U.S. Treasury Securities at 10-year Constant Maturity

Table B.2 Pharmaceutical Product Sales

Table B.3 Chemical Process Viscosity

Table B.4 U.S Production of Blue and Gorgonzola Cheeses

Table B.5 U.S. Beverage Manufacturer Product Shipments, Unadjusted

Table B.6 Global Mean Surface Air Temperature Anomaly and Global CO2<sub>2</sub> Concentration

Table B.7 Whole Foods Market Stock Price, Daily Closing Adjusted for Splits

Table B.8 Unemployment Rate - Full-Time Labor Force, Not Seasonally Adjusted

Table B.9 International Sunspot Numbers

Table B.10 United Kingdom Airline Miles Flown

Table B.11 Champagne Sales

Table B.12 Chemical Process Yield, with Operating Temperature (Uncontrolled)

Table B.13 U.S. Production of Ice Cream and Frozen Yogurt

Table B.14 Atmospheric CO2 Concentrations at Mauna Loa Observatory

Table B.15 U.S. National Violent Crime Rate

Table B.16 U.S. Gross Domestic Product

Table B.17 U.S. Total Energy Consumption

Table B.18 U.S. Coal Production

Table B.19 Arizona Drowning Rate, Children 1-4 Years Old

Table B.20 U.S. Internal Revenue Tax Refunds