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INTRODUCTIONSome Representative Time Series TerminologyObjectives of Time-Series AnalysisApproaches to Time-Series AnalysisReview of Books of Time SeriesSIMPLE DESCRIPTIVE TECHNIQUESTypes of VariationStationary Time SeriesThe Time PlotTransformationAnalysing Series that Contain a TrendAnalysing Series that Contain Seasonal VariationAutocorrelation and the CorrelogramOther Tests of RandomnessHandling Real DataPROBABILITY MODELS FOR TIME SERIESStochastic Processes and their PropertiesStationary ProcessesSome Properties of the Autocorrelation FunctionSome Useful ModelsThe Wold Decomposition TheoremFITTING TIME-SERIES MODELS (IN THE TIME DOMAIN)Estimating the Autocovariance and Autocorrelation FunctionsFitting an Autoregressive ProcessFitting a Moving Average ProcessEstimating the Parameters of an ARMA ModelEstimating the Parameters of an ARIMA ModelThe Box-Jenkins Seasonal (SARIMA) ModelResidual AnalysisGeneral Remarks on Model BuildingFORECASTINGIntroductionUnivariate ProceduresMultivariate ProceduresA Comparative Review of Forecasting ProceduresSome ExamplesPrediction TheorySTATIONARY PROCESSES IN THE FREQUENCY DOMAINIntroductionThe Spectral Distribution FunctionThe Spectral Density FunctionThe Spectrum of a Continuous ProcessDerivation of Selected SpectraSPECTRAL ANALYSISFourier AnalysisA Simple Sinusoidal ModelPeriodogram AnalysisSpectral Analysis: some Consistent Estimation ProceduresConfidence Intervals for the SpectrumA Comparison of Different Estimation ProceduresAnalysing a Continuous Time SeriesExamples and DiscussionBIVARIATE PROCESSESThe Cross-Covariance and Cross-Correlation FunctionsThe Cross-SpectrumLINEAR SYSTEMSIntroductionLinear systems in the Time DomainLinear Systems in the Frequency DomainIdentification of Linear SystemsSTATE-SPACE MODELS AND THE KALMAN FILTERState-Space ModelsThe Kalman FilterNON-LINEAR MODELSIntroductionSome Models with Nonlinear StructureModels for Changing VarianceNeural NetworksChaosConcluding RemarksBibliographyMULTIVARIATE TIME-SERIES MODELLINGIntroductionSingle Equation ModelsVector Autoregressive ModelsVector ARMA ModelsFitting VAR and VARMA ModelsCo-integrationBibliographySOME MORE ADVANCED TOPICSModel Identification ToolsModelling Non-Stationary SeriesFractional Differencing and Long-Memory ModelsTesting for Unit RootsThe Effect of Model UncertaintyControl TheoryMiscellaneaEXAMPLES AND PRACTICAL ADVICEGeneral CommentsComputer SoftwareExamplesMore on the Time PlotConcluding RemarksData Sources and ExercisesAPPENDICESThe Fourier, Laplace, and z-TransformsThe Dirac Delta FunctionCovariance and CorrelationSome MINITAB and S-PLUS CommandsANSWERS TO EXERCISESREFERENCES