## Second year project: AR processes

### Recommended Books:

Introduction to Time Series and Forecasting, Brockwell and Davis, Springer Verlag

Time Series: Theory and Methods, Brockwell
and Davis, Springer Verlag

Time Series Forecasting, Chatfield, Chapman and Hall

The
Analysis of Time Series: An Introduction, Chatfield, Chapman and Hall

Time
Series Models, Harvey,
Wiley

Time
Series Analysis and its Applications, Shumway and Stoffer, Springer Verlag

### Notes on R:

Have a look at the introduction (under Manuals)

__http://www.r-project.org/__

Also, the following contains information on time series
analysis with R

__http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf__

The following contains information related to the Shumway and Stoffer book with
some good R functions and a good tutorial on R that you should try

http://www.stat.pitt.edu/stoffer/tsa4/

### Notes on S+:

All the following functions should work in R – any
problems, let me know.

Once you've saved the file "Functions" you can
type:

source("Functions")

### S+ code

Once you've saved the file "Functions" you can
type:

source("Functions")

from
the commands window to read in the functions.

The
file "Commands" gives examples of the commands you need to type to
run the functions.