Rhasacommandlineinterfacethato?ersconsiderableadvantagesovermenu systemsintermsofe?ciencyandspeedoncethecommandsareknownandthe languageunderstood. However,thecommandlinesystemcanbedauntingfor
the?rst-timeuser,sothereisaneedforconcisetextstoenablethestudentor analysttomakeprogresswithRintheirareaofstudy. Thisbookaimstoful?l thatneedintheareaoftimeseries toenablethenon-specialisttoprogress,
atafairlyquickpace,toalevelwheretheycancon?dentlyapplyarangeof timeseriesmethodstoavarietyofdatasets. Thebookassumesthereader hasaknowledgetypicalofa?rst-yearuniversitystatisticscourseandisbased
aroundlecturenotesfromarangeoftimeseriescoursesthatwehavetaught overthelasttwentyyears. Someofthismaterialhasbeendeliveredtopo- graduate?nancestudentsduringaconcentratedsix-weekcourseandwaswell
received,soaselectionofthematerialcouldbemasteredinaconcentrated course,althoughingeneralitwouldbemoresuitedtobeingspreadovera completesemester. Thebookisbasedaroundpracticalapplicationsandgenerallyfollowsa similar format for
each time series model being studied. First, there is an introductory motivational section that describes practical reasons why the modelmaybeneeded. Second,themodelisdescribedandde?nedinma- ematicalnotation.
Themodelisthenusedtosimulatesyntheticdatausing Rcodethatcloselyre?ectsthemodelde?nitionandthen?ttedtothes- theticdatatorecovertheunderlyingmodelparameters. Finally,themodel
is?ttedtoanexamplehistoricaldatasetandappropriatediagnosticplots given. By using R, the whole procedure can be reproduced by the reader, 1 anditisrecommendedthatstudentsworkthroughmostoftheexamples. Mathematical derivations
are provided in separate frames and starred sec- 1 WeusedtheRpackageSweavetoensurethat,ingeneral,yourcodewillproduce thesameoutputasours. However,forstylisticreasonswesometimeseditedour code;e. g.
,fortheplotstherewillsometimesbeminordi?erencesbetweenthose generatedbythecodeinthetextandthoseshownintheactual?gures. vii viii Preface tionsandcanbeomittedbythosewantingtoprogressquicklytopractical applications.
Attheendofeachchapter,aconcisesummaryoftheRc- mands that were used is given followed by exercises. All data sets used in thebook,andsolutionstotheoddnumberedexercises,areavailableonthe websitehttp://www. massey. ac.
nz/?pscowper/ts. WethankJohnKimmelofSpringerandtheanonymousrefereesfortheir helpfulguidanceandsuggestions,BrianWebbyforcarefulreadingofthetext andvaluablecomments,andJohnXieforusefulcommentsonanearlierdraft.
TheInstituteofInformationandMathematicalSciencesatMasseyUniv- sity and the School of Mathematical Sciences, University of Adelaide, are acknowledgedforsupportandfundingthatmadeourcollaborationpossible. Paul thanks his wife,
Sarah, for her continual encouragement and support duringthewritingofthisbook,andourson,Daniel,anddaughters,Lydia andLouise,forthejoytheybringtoourlives. AndrewthanksNataliefor
providinginspirationandherenthusiasmfortheproject. PaulCowpertwaitandAndrewMetcalfe MasseyUniversity,Auckland,NewZealand UniversityofAdelaide,Australia December2008 Contents Preface. . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii 1 TimeSeriesData. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Purpose. . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Timeseries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1. 3 Rlanguage. . . . . . . . . . . . . . . . . . . . . . . . .
