Time Series Analysis: Forecasting and Control, Fourth Edition

Index

A

Abraham, B., 390, 546

ACF. See autocorrelation function (ACF)

Adaptive sines and cosines, 354–356

Adjustment (control) charts

for discrete proportional-integral schemes, 615–617, 618

metallic thickness example, 605–606

Ahn, S.K., 286, 582, 586, 588

AIC (Akaike's information criterion), 211–212, 580, 581, 591, 592, 593

Akaike, H., 208, 211, 576, 580, 581, 592

Akaike's information criterion (AIC), 211–212, 580, 581, 591, 592, 593

Ali, M.M., 585

Analysis of variance

periodogram calculation, 37–38, 39

scrutiny of residuals, 333

two-way, 356, 378

Anderson, A.P., 421

Anderson, B.D.O., 176, 546

Anderson, R.L., 200, 338

Anderson, T.W., 209, 399, 587

Anscombe, F.J., 333

Ansley, C.F., 175, 244, 310, 543, 545, 546, 584

AR. See autoregressive (AR) model

ARCH. See autoregressive conditional heteroscedastic (ARCH) model

ARIMA. See autoregressive integrated moving average (ARIMA) model

ARMA. See autoregressive-moving average (ARMA) model

Aström, K.J., 622

Asymptotic distribution

of least squares estimator in AR model, 323–327, 580

of maximum likelihood estimator in ARMA model, 583, 584

Autocorrelation coefficient, 25

Autocorrelation function (ACF). See also partial autocorrelation function (PACF)

advantages and disadvantages, 45

autoregressive-moving average process, 80–81

carryover effects, 32–33

compared with spectral density function, 45

defined, 27, 29

estimated, nonstationary processes, 225–226

estimated, standard errors, 33–35, 198, 200

estimated, variance, 33–34, 198

estimated ...