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\iteman{io-port 01934911}
\itemau{Brocklebank, John C.; Dickey, David A.}
\itemti{SAS for forecasting time series. 2nd ed.}
\itemso{Hoboken, NY: John Wiley \& Sons; Cary, NC: SAS Institute (ISBN 0-471-39566-8/pbk). x, 398~p. EUR~62.50; \sterling~44.50 (2006).}
\itemab
From the publisher's description: The authors show how SAS performs univariate and multivariate time series analysis. Taking a tutorial approach, the authors focus on procedures that most effectively bring results: the advanced procedures ARIMA, SPECTRA, STATESPACE, and VARMAX. They demonstrate the interrelationship of SAS/ETS procedures with a discussion of how the choice of a procedure depends on the data to be analyzed and the results desired. The readers will learn to model and forecast simple autoregressive and vector ARMA processes using the STATESPACE and VARMAX procedures. Other topics covered include detecting sinusoidal components in time series models, performing bivariate cross-spectral analysis, and comparing these frequency-based results with the time domain transfer function methodology. New and updated examples in this second edition include: Retail sales with seasonality; ARCH models for stock prices with changing volatility; Vector autoregression and cointegration models; Intervention analysis for product recall data; Expanded discussion of unit root tests and nonstationarity; Expanded discussion of frequency domain analysis and cycles in data; Data mining and forecasting with examples using SAS IntelliVisor; Using the HPF procedure to automatically generate forecasts for several time series in one step
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