Springer Texts in Statistics
Jonathan D.Cryer
Kung-Sik Chan
Time Series Analysis
With Applications in R
Second Edition
Statistics Texts in Statistics
Series Editors:
G. Casella
S. Fienberg
I. Olkin
Springer Texts in Statistics
Athreya/Lahiri: Measure Theory and Probability Theory
Bilodeau/Brenner: Theory of Multivariate Statistics
Brockwell/Davis: An Introduction to Time Series and Forecasting
Carmona: Statistical Analysis of Financial Data in S-PLUS
Chow/Teicher: Probability Theory: Independence, Interchangeability, Martingales, 3
rd
ed.
Christensen: Advanced Linear Modeling: Multivariate, Time Series, and Spatial Data;
Nonparametric Regression and Response Surface Maximization, 2
nd
ed.
Christensen: Log-Linear Models and Logistic Regression, 2
nd
ed.
Christensen: Plane Answers to Complex Questions: The Theory of Linear Models, 2
nd
ed.
Cryer/Chan: Time Series Analysis, Second Edition
Davis: Statistical Methods for the Analysis of Repeated Measurements
Dean/Voss: Design and Analysis of Experiments
Dekking/Kraaikamp/Lopuhaä/Meester: A Modern Introduction to Probability and Statistics
Durrett: Essential of Stochastic Processes
Edwards: Introduction to Graphical Modeling, 2
nd
ed.
Everitt: An R and S-PLUS Companion to Multivariate Analysis
Gentle: Matrix Algebra: Theory, Computations, and Applications in Statistics
Ghosh/Delampady/Samanta: An Introduction to Bayesian Analysis
Gut: Probability: A Graduate Course
in S-PLUS, R, and SAS
Jobson: Applied Multivariate Data Analysis, Volume I: Regression and Experimental Design
Jobson: Applied Multivariate Data Analysis, Volume II: Categorical and Multivariate Methods
Karr: Probability
Kulkarni: Modeling, Analysis, Design, and Control of Stochastic Systems
Lange: Applied Probability
Lange: Optimization
Lehmann: Elements of Large Sample Theory
Lehmann/Romano: Testing Statistical Hypotheses, 3
rd
ed.
Lehmann/Casella: Theory of Point Estimation, 2
nd
ed.
Longford: Studying Human Popluations: An Advanced Course in Statistics
Marin/Robert: Bayesian Core: A Practical Approach to Computational Bayesian Statistics
Nolan/Speed: Stat Labs: Mathematical Statistics Through Applications
Pitman: Probability
Rawlings/Pantula/Dickey: Applied Regression Analysis
Robert: The Bayesian Choice: From Decision-Theoretic Foundations to Computational
Implementation, 2
nd
ed.
Robert/Casella: Monte Carlo Statistical Methods, 2
nd
ed.
Rose/Smith: Mathematical Statistics with Mathematica
Ruppert: Statistics and Finance: An Introduction
Sen/Srivastava: Regression Analysis: Theory, Methods, and Applications.
Shao: Mathematical Statistics, 2
nd
ed.
Shorack: Probability for Statisticians
Shumway/Stoffer: Time Series Analysis and Its Applications, 2
nd
ed.
Simonoff: Analyzing Categorical Data
Terrell: Mathematical Statistics: A Unified Introduction
Timm: Applied Multivariate Analysis
Toutenberg: Statistical Analysis of Designed Experiments, 2
nd
ed.
Wasserman: All of Nonparametric Statistics
Wasserman: All of Statistics: A Concise Course in Statistical Inference
Weiss: Modeling Longitudinal Data
Whittle: Probability via Expectation, 4
th
ed.
Heiberger/Holland: Statistical Analysis and Data Display; An Intermediate Course with Examples
Time Series Analysis
Jonathan D. Cryer • Kung-Sik Chan
With Applications in R
Second Edition
George Casella
University of Florida
USA
Department of Statistics
Carnegie Mellon University
USA
Pittsburgh, PA 15213-3890
Ingram Okin
Department of Statistics
Stanford, CA 94305
USA
Series Editors:
Department of Statistics
ISBN: 978-0-387-75958-6
© 2008 Springer Science+Business Media, LLC
Printed on acid-free paper.
springer.com
Stephen Fienberg
Stanford University
e-ISBN: 978-0-387-75959-3
All rights reserved. This work may not be translated or copied in whole or in part without the written permission
of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA),
except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any
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identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to
proprietary rights.
Library of Congress Control Number: 2008923058
Gainesville, FL 32611-8545
Jonathan D. Cryer
Department of Statistics & Actuarial Science
University of Iowa
Iowa City, Iowa 52242
USA
jon-cryer@uiowa.edu
Kung-Sik Chan
Department of Statistics & Actuarial Science
University of Iowa
Iowa City, Iowa 52242
USA
kung-sik-chan@uiowa.edu
9 8 7 6 5 4 3 2 (Corrected at second printing, 2008)
