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Montgomery / Jennings / Kulahci

Montgomery, D: Introduction to Time Series Analysis and Fore

Medium: Buch
ISBN: 978-1-118-74511-3
Verlag: Wiley-Interscience
Erscheinungstermin: 29.05.2015
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Praise for the First Edition

"…[t]he book is great for readers who need to apply the methods and models presented but have little background in mathematics and statistics." -MAA Reviews

Thoroughly updated throughout, Introduction to Time Series Analysis and Forecasting, Second Edition presents the underlying theories of time series analysis that are needed to analyze time-oriented data and construct real-world short- to medium-term statistical forecasts.   

Authored by highly-experienced academics and professionals in engineering statistics, the Second Edition features discussions on both popular and modern time series methodologies as well as an introduction to Bayesian methods in forecasting. Introduction to Time Series Analysis and Forecasting, Second Edition also includes:

- Over 300 exercises from diverse disciplines including health care, environmental studies, engineering, and finance
- More than 50 programming algorithms using JMP®, SAS®, and R that illustrate the theory and practicality of forecasting techniques in the context of time-oriented data 
- New material  on frequency domain and spatial temporal data analysis
- Expanded coverage of the variogram and spectrum with applications as well as transfer and intervention model functions
- A supplementary website featuring  PowerPoint® slides, data sets, and select solutions to the problems

Introduction to Time Series Analysis and Forecasting, Second Edition is an ideal textbook upper-undergraduate and graduate-levels courses in forecasting and time series. The book is also an excellent reference for practitioners and researchers who need to model and analyze time series data to generate forecasts.

Produkteigenschaften

  • Artikelnummer: 9781118745113
  • Medium: Buch
  • ISBN: 978-1-118-74511-3
  • Verlag: Wiley-Interscience
  • Erscheinungstermin: 29.05.2015
  • Sprache(n): Englisch
  • Auflage: 2. Auflage 2015
  • Produktform: Gebunden
  • Gewicht: 1021 g
  • Seiten: 672
  • Format (B x H x T): 165 x 241 x 38 mm
  • Ausgabetyp: Kein, Unbekannt
  • Vorauflage: 978-0-471-65397-4
  • Nachauflage: 978-1-394-18669-3

Themen

Autoren/Hrsg.

Autoren

preface xi

1 Introduction to Forecasting 1

1.1 The Nature and Uses of Forecasts 1

1.2 Some Examples of Time Series 6

1.3 The Forecasting Process 13

1.4 Data for Forecasting 16

1.4.1 The Data Warehouse 16

1.4.2 Data Cleaning 18

1.4.3 Imputation 18

1.5 Resources for Forecasting 19

Exercises 20

2 Statistics Background for Forecasting 25

2.1 Introduction 25

2.2 Graphical Displays 26

2.2.1 Time Series Plots 26

2.2.2 Plotting Smoothed Data 30

2.3 Numerical Description of Time Series Data 33

2.3.1 Stationary Time Series 33

2.3.2 Autocovariance and Autocorrelation Functions 36

2.3.3 The Variogram 42

2.4 Use of Data Transformations and Adjustments 46

2.4.1 Transformations 46

2.4.2 Trend and Seasonal Adjustments 48

2.5 General Approach to Time Series Modeling and Forecasting 61

2.6 Evaluating and Monitoring Forecasting Model Performance 64

2.6.1 Forecasting Model Evaluation 64

2.6.2 Choosing Between Competing Models 74

2.6.3 Monitoring a Forecasting Model 77

2.7 R Commands for Chapter 2 84

Exercises 96

3 Regression Analysis and Forecasting 107

3.1 Introduction 107

3.2 Least Squares Estimation in Linear Regression Models 110

3.3 Statistical Inference in Linear Regression 119

3.3.1 Test for Significance of Regression 120

3.3.2 Tests on Individual Regression Coefficients and Groups of Coefficients 123

3.3.3 Confidence Intervals on Individual Regression Coefficients 130

3.3.4 Confidence Intervals on the Mean Response 131

3.4 Prediction of New Observations 134

3.5 Model Adequacy Checking 136

3.5.1 Residual Plots 136

3.5.2 Scaled Residuals and PRESS 139

3.5.3 Measures of Leverage and Influence 144

3.6 Variable Selection Methods in Regression 146

3.7 Generalized and Weighted Least Squares 152

3.7