Klar B. Time Series Analysis 2021

Textbook in PDF format

Introduction
Introductory remarks
Estimation and elimination of trends
Estimation and elimination of seasonal component
Stationarity, Autocovariance and Autocorrelation
Nonparametric Estimation of Mean and ACVF
Estimation of the Expected Value of a Stationary Time Series
Linear Time Series
Nonparametric Estimation of the Autocovariance Function
Autoregressive Processes
Autocovariance Function of Autoregressive Processes
Parameter Estimation for Autoregressive Processes
Partial Autocorrelation and Order Selection
Autoregressive Moving Average or ARMA processes
Prediction
Prediction with Finite Past
Prediction with In#nite Past
Spectral Density and Periodogram
References
Examples using R
Detrending and Deseasonalizing
ACF of the Noise in the Airpass Dataset
Simulation of AR and MA Processes
Autocovariance Function for AR Processes
Parameter Estimation for AR Processes
Forecasting for ARMA Processes
Periodogram and Spectral Density Estimators