Preface to the Fourth Edition Preface to the Third Edition 1 Characteristics of Time Series 1��1 The Nature of Time Series Data 1��2 Time Series Statistical Models 1��3 Measures of Dependence 1��4 Stationary Time Series 1��5 Estimation of Correlation 1��6 Vector-Valued and Multidimensional Series Problems 2 Time Series Regression and Exploratory Data Analysis 2��1 Classical Regression in the Time Series Context 2��2 Exploratory Data Analysis 2��3 Smoothing in the Time Series Context Problems 3 ARIMA Models 3��1 Autoregressive Moving Average Models 3��2 Difference Equations 3��3 Autocorrelation and Partial Autocorrelation 3��4 Forecasting 3��5 Estimation 3��6 Integrated Models for Nonstationary Data 3��7 Building ARIMA Models 3��8 Regression with Autocorrelated Errors 3��9 Multiplicative Seasonal ARIMA Models Problems 4 Spectral Analysis and Filtering 4��1 Cyclical Behavior and Periodicity 4��2 The Spectral Density 4��3 Periodogram and Discrete Fourier Transform 4��4 Nonparametric Spectral Estimation 4��5 Parametric Spectral Estimation 4��6 Multiple Series and Cross-Spectra 4��7 Linear Filters 4��8 Lagged Regression Models 4��9 Signal Extraction and Optimum Filtering 4��10 Spectral Analysis of Multidimensional Series Problems 5 Additional Time Domain Topics 5��1 Long Memory ARMA and Fractional Differencing 5��2 Unit Root Testing 5��3 GARCH Models 5��4 Threshold Models 5��5 Lagged Regression and Transfer Function Modeling 5��6 Multivariate ARMAX Models Problems 6 State Space Models 6��1 Linear Gaussian Model 6��2 Filtering�� Smoothing��and Forecasting 6��3 Maximum Likelihood Estimation 6��4 Missing Data Modifications 6��5 Structural Models�� Signal Extraction and Forecasting 6��6 State-Space Models with Correlated Errors 6��6��1 ARMAX Models 6��6��2 Multivariate Regression with Autocorrelated Errors 6��7 Bootstrapping State Space Models 6��8 Smoothing Splines and the Kalman Smoother 6��9 Hidden Markov Models and Switching Aut oregression 6��10 Dynamic Linear Models with Switching 6��1��1 Stochastic Volatility 6��1��2 Bayesian Analysis of State Space Models Problems 7 Statistical Methods in the Frequency Domain 7��1 Introduction 7��2 Spectral Matrices and Likelihood Functions 7��3 Regression for Joindy Stationary Series 7��4 Regression with Deterministic Inputs 7��5 Random Coefficient Regression ���� Appendix A Large Sample Theory Appendix B Time Domain Theory Appendix C SpectraIDomain Theory Appendix R R Supplement References Index