Univariate Time Series: Autocorrelation, Linear Prediction, Spectrum, and State‐Space Model
Granville Tunnicliffe Wilson · Wiley series in probability and statistics · 2000
This chapter contains sections titled: Linear time series models The autocorrelation function Lagged prediction and the partial autocorrelation function Transformations to stationarity Cycles and the periodogram The spectrum Further interpretation of time series acf, pacf, and spectrum State-space models and the Kalman Filter