Przedmiotem aukcji jest anglojęzyczna książka: SAS for Forecasting Time Series. Książka jest nowa, nieużywana. Nigdy nie była zafoliowana.

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Autorzy: John C. Brocklebank, Ph.D. David A. Dickey, Ph.D. Bong Choi
Wydawnictwo: SAS Institute Inc.
Data wydania: 2018
Wydanie: 3
Liczba stron:
Forma publikacji: PDF (online)
Język publikacji: angielski
ISBN: 9781629605463

Contents
About This Book
About the Authors
Acknowledgments
Chapter 1: Overview of Time Series
1.1 Introduction
1.2 Analysis Methods and SAS/ETS Software
1.2.1 Options
1.2.2 How SAS/ETS Procedures Interrelate
1.3 Simple Models: Regression
1.3.1 Linear Regression
1.3.2 Highly Regular Seasonality
1.3.3 Regression with Transformed Data
Chapter 2: Simple Models: Autoregression
2.1 Introduction
2.1.1 Terminology and Notation
2.1.2 Statistical Background
2.2 Forecasting
2.2.1 PROC ARIMA for Forecasting
2.2.2 Backshift Notation B for Time Series
2.2.3 Yule-Walker Equations for Covariances
2.3 Fitting an AR Model in PROC REG
Chapter 3: The General ARIMA Model
3.1 Introduction
3.1.1 Statistical Background
3.1.2 Terminology and Notation
3.2 Prediction
3.2.1 One-Step-Ahead Predictions
3.2.2 Future Predictions
3.3 Model Identification
3.3.1 Stationarity and Invertibility
3.3.2 Time Series Identification
3.3.3 Chi-Square Check of Residuals
3.3.4 Summary of Model Identification
3.4 Examples and Instructions
3.4.1 IDENTIFY Statement for Series 1-8
3.4.2 Example: Iron and Steel Export Analysis
3.4.3 Estimation Methods Used in PROC ARIMA
3.4.4 ESTIMATE Statement for Series 8-A
3.4.5 Nonstationary Series
3.4.6 Effect of Differencing on Forecasts
3.4.7 Examples: Forecasting IBM Series and Silver Series
3.4.8 Models for Nonstationary Data
3.4.9 Differencing to Remove a Linear Trend
3.4.10 Other Identification Techniques
3.5 Summary of Steps for Analyzing Nonseasonal Univariate Series
Chapter 4: The ARIMA Model: Introductory Applications
4.1 Seasonal Time Series
4.1.1 Introduction to Seasonal Modeling
4.1.2 Model Identification
4.2 Models with Explanatory Variables
4.2.1 Case 1: Regression with Time Series Errors
4.2.2 Case 1A: Intervention
4.2.3 Case 2: Simple Transfer Functions
4.2.4 Case 3: General Transfer Functions
4.2.5 Case 3A: Leading Indicators
4.2.6 Case 3B: Intervention
4.3 Methodology and Example
4.3.1 Case 1: Regression with Time Series Errors
4.3.2 Case 2: Simple Transfer Functions
4.3.3 Case 3: General Transfer Functions
4.3.4 Case 3B: Intervention
4.4 Further Example
4.4.1 North Carolina Retail Sales
4.4.2 Construction Series Revisited
4.4.3 Milk Scare (Intervention)
4.4.4 Terrorist Attack
Chapter 5: The ARIMA Model: Special Applications
5.1 Regression with Time Series Errors and Unequal Variances
5.1.1 Autoregressive Errors
5.1.2 Example: Energy Demand at a University
5.1.3 Unequal Variances
5.1.4 ARCH, GARCH, and IGARCH for Unequal Variances
5.2 Cointegration
5.2.1 Cointegration and Eigenvalues
5.2.2 Impulse Response Function
5.2.3 Roots in Higher-Order Models
5.2.4 Cointegration and Unit Roots
5.2.5 An Illustrative Example
5.2.6 Estimation of the Cointegrating Vector
5.2.7 Intercepts and More Lags
5.2.8 PROC VARMAX
5.2.9 Interpretation of the Estimates
5.2.10 Diagnostics and Forecasts
Chapter 6: Exponential Smoothing
6.1 Single Exponential Smoothing
6.1.1 The Smoothing Idea
6.1.2 Forecasting with Single Exponential Smoothing
6.1.3 Alternative Representations
6.1.4 Atlantic Ocean Tides: An Example
6.1.5 Improving the Tide Forecasts
6.2 Exponential Smoothing for Trending Data
6.2.1 Linear and Double Exponential Smoothing
6.2.2 Properties of the Forecasts
6.2.3 A Generated Multi-Series Example
6.2.4 Real Data Examples
6.2.5 Boundary Values in Linear Exponential Smoothing
6.2.6 Damped Trend Exponential Smoothing
6.2.7 Diagnostic Plots
6.2.8 Sums of Forecasts
6.3 Smoothing Seasonal Data
6.3.1 Seasonal Exponential Smoothing
6.3.2 Winters Method
6.4 Diagnostics
6.4.1 Validation
6.4.2 Choosing a Model Visually
6.4.3 Choosing a Model Numerically
6.5 Advantages of Exponential Smoothing
6.6 How the Smoothing Equations Lead to ARIMA in the Linear Case
Chapter 7: Unobserved Components and State Space Models
7.1 Nonseasonal Unobserved Components Models
7.1.1 The Nature of Unobserved Components Models
7.1.2 A Look at the PROC UCM Output
7.1.3 A Note on Unit Roots in Practice
7.1.4 The Basic Structural Model Related to ARIMA Structures
7.1.5 A Follow-Up on the Example
7.2 Diffuse Likelihood and Kalman Filter: Overview and a Simple Case
7.2.1 Diffuse
Likelihood in a Simple Model
7.2.2 Definition of a Diffuse Likelihood
7.2.3 A Numerical Example
7.3 Seasonality in Unobserved Components Models
7.3.1 Description of Seasonal Recursions
7.3.2 Tourism Example with Regular Seasonality
7.3.3 Decomposition
7.3.4 Another Seasonal Model: Sine and Cosine Terms
7.3.5 Example with Trigonometric Components
7.3.6 The Seasonal Component Made Local and Damped
7.4 A Brief Introduction to the SSM Procedure
7.4.1 Brief Overview
7.4.2 Simple Examples
7.4.3 Extensions of the AR(1) Model
7.4.4 Accommodation for Curvature
7.4.5 Models with Several Lags
7.4.6 Bivariate Examples
7.4.7 The Start-up Problem Revisited
7.4.8 Example and More Details on the State Space Approach
Chapter 8: Adjustment for Seasonality with PROC X13
8.1 Introduction
8.2 The X-11 Method
8.2.1 Moving Averages
8.2.2 Outline of the X-11 Method
8.2.3 Basic Seasonal Adjustment Using the X-11 Method
8.2.4 Tests for Seasonality
8.3 regARIMA Models and TRAMO
8.3.1 regARIMA Models
8.3.2 Automatic Selection of ARIMA Orders
8.4 Data Examples
8.4.1 Airline Passengers Revisited
8.4.3 Employment in the United States
Chapter 9: SAS Forecast Studio
9.1 Introduction
9.2 Creating a Project
9.3 Overview of Available Modes
9.4 Project Settings
9.4.1 Model Generation
9.4.2 Goodness of Fit and Honest Assessment
9.4.2 Transformation and Outlier Detection
9.5 Creating Custom Events
9.6 Hierarchical Time Series and Reconciliation
Chapter 10: Spectral Analysis
10.1 Introduction
10.2 Example: Plant Enzyme Activity
10.3 PROC SPECTRA
10.4 Tests for White Noise
10.5 Harmonic Frequencies
10.6 Extremely Fast Fluctuations and Aliasing
10.7 The Spectral Density
10.8 Some Mathematical Detail (Optional Reading)
10.9 Estimation of the Spectrum: The Smoothed Periodogram
10.10 Cross-Spectral Analysis
10.10.1 Interpretation of Cross-Spectral Quantities
10.10.2 Interpretation of Cross-Amplitude and Phase Spectra
10.10.3 PROC SPECTRA Statements
10.10.4 Cross-Spectral Analysis of the Neuse River Data
10.10.5 Details on Gain, Phase, and Pure Delay
References
Index