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.