iii 2 P. J. Brockwell and R.A. Davis, Introduction to Time Series and Forecasting, 2nd edition (Springer, 2002) 1 2 ITSM2000(version 7) 6 10 7 2 2 2 ITSM2000 student version professional version CD-ROM ITSM student version (student version 250 ) professional version professional version ITSM pjbrockwell@cs.com
iv 1 P. J. Brockwell and R.A. Davis, Introduction to Time Series and Forecasting, 4th printing (Springer, 2000) Time Series: Theory and Methods, 2nd ed. (Springer, 1991) AIC 1 ITSM CD-ROM 4 Windows95 32 ITSM2000 ITSM ITSM96 Windows ITSM96 ITSM96 ITSM2000 Windows ITSM2000 ITSM2000 ITSM Springer ITSM for Windows 1 1994
1 v 1998 1 1 ITSM ITSM2000 4 1999 2000 2000 3 1, 5, 7 2, 3, D 4, 6, A,B,C 8, 9, 10
vi 2 Time Series: Theory and Methods( TSTM ) ( Mendenhall, Wackerly and Scheaffer(1990) ) ( ) ITSM2000 CD-ROM 95,NT4.0 IBM ITSM CD-ROM D ITSM Help>Contents Data sets CD-ROM Venables and Ripley(1994) 14 S-plus ( ) 1 ITSM2000 1 1 D (i) 6.6 (ii) 6.4 ARIMA (iii) 10.3 GARCH
2 vii Autofit( ) ARMA(p,q) (p,q) AICC 1 1 1 6 1 1 1 2 2001 8 P.J. R.A.
viii 2 Introduction to Time Series and Forecasting 2 2 ITSM2000 student version 1 10.3 GARCH 2003 ( 2 ) 6.6 6.4 ARIMA Autofit ( ) ARMA(p,q) (p,q) AIC D 2 1 ITSM2000 2 2004 3 P.J. R.A.
ix 2 iii 1 iv 2 vi 2 viii 1 1 1.1 1 1.2 6 1.3 6 1.3.1 0 7 1.3.2 8 1.3.3 14 1.4 15 1.4.1 18 1.4.2 20 1.5 23 1.5.1 24 1.5.2 31 1.6 36 41 2 47 2.1 47 2.2 52 2.3 ARMA 56 2.4 59 2.4.1 µ 59 2.4.2 γ( ) ρ( ) 60 2.5 65 2.5.1 70 2.5.2 72
x 2.5.3 76 2.6 78 79 3 ARMA 85 3.1 ARMA(p, q) 85 3.2 ARMA(p, q) 90 3.2.1 90 3.2.2 95 3.2.3 96 3.2.4 98 3.3 ARMA 101 110 4 115 4.1 115 4.2 124 4.3 131 4.4 ARMA 136 138 5 ARMA 141 5.1 142 5.1.1 143 5.1.2 150 5.1.3 154 5.1.4 160 5.2 162 5.3 167 5.3.1 { ˆR t, t = 1,...,n} 168 5.3.2 168 5.3.3 169 5.4 171 5.5 173 5.5.1 FPE 173 5.5.2 AICC 175 177
xi 6 181 6.1 ARIMA 182 6.2 189 6.3 196 6.3.1 196 6.3.2 198 6.4 ARIMA 200 6.4.1 202 6.5 ARIMA 204 6.5.1 SARIMA 210 6.6 ARMA 211 6.6.1 211 6.6.2 214 219 7 223 7.1 223 7.2 2 228 7.3 233 7.3.1 µ 234 7.3.2 Γ(h) 235 7.3.3 2 236 7.3.4 237 7.4 ARMA 240 7.4.1 ARMA 243 7.5 2 243 7.6 245 7.6.1 246 7.6.2 249 7.7 253 254 8 257 8.1 258 8.2 261 8.3 ARIMA 265 8.4 269 8.5 275 8.6 281
xii 8.7 EM 286 8.8 289 8.8.1 290 8.8.2 296 307 9 315 9.1 ARAR 316 9.1.1 316 9.1.2 317 9.1.3 317 9.1.4 ARAR 318 9.2 320 9.2.1 320 9.2.2 ARIMA 323 9.3 324 9.3.1 324 9.3.2 ARIMA 326 9.4 326 327 10 331 10.1 331 10.1.1 336 10.2 339 10.3 342 10.3.1 344 10.3.2 345 10.3.3 IID 345 10.3.4 3 348 10.3.5 349 10.4 357 10.5 361 365 A 369 A.1 369 A.2 373 A.3 377
xiii 379 B 381 B.1 381 B.1.1 383 B.1.2 383 B.2 384 B.2.1 385 B.3 385 B.3.1 386 B.4 386 B.4.1 387 B.4.2 387 C 389 C.1 389 D ITSM 391 D.1 391 D.1.1 ITSM 391 D.2 392 D.2.1 392 D.2.2 393 D.2.3 393 D.2.4 394 D.2.5 394 D.3 399 D.3.1 399 D.3.2 399 D.3.3 400 D.3.4 402 D.3.5 AICC 404 D.3.6 405 D.3.7 405 D.3.8 406 D.4 407 D.4.1 408 D.4.2 410 D.4.3 411
xiv D.5 412 D.5.1 412 D.5.2 412 D.6 413 D.6.1 ARMA 414 D.6.2 414 D.6.3 416 D.6.4 417 D.6.5 418 D.7 418 419 425