A First Course on Time Series Analysis with SAS

"A First Course on Time Series Analysis with SAS" is an open source book project to create a mathematically oriented introduction to time series analysis. You can download the book (in pdf-format) as well as the data sets and the SAS programming code free of charge.

It is also possible to directly order a printed copy of the the book.

If you are interested in making changes to the book please read the preamble.

Introduction

The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work.

The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS. Consequently this book addresses students of statistics as well as students of other branches such as economics, demography and engineering, where lectures on statistics belong to their academic training. But it is also intended for the practician who, beyond the use of statistical tools, is interested in their mathematical background. Numerous problems illustrate the applicability of the presented statistical procedures, where SAS gives the solutions. The programs used are explicitly listed and explained. No previous experience is expected neither in SAS nor in a special computer system so that a short training period is guaranteed.

This book is meant for a two semester course (lecture, seminar or practical training) where the first three chapters can be dealt within the first semester. They provide the principal components of the analysis of a time series in the time domain. Chapters 4, 5 and 6 deal with its analysis in the frequency domain and can be worked through in the second term. In order to understand the mathematical background some terms are useful such as convergence in distribution, stochastic convergence, maximum likelihood estimator as well as a basic knowledge of the test theory, so that work on the book can start after an introductory lecture on stochastics. Each chapter includes exercises. An exhaustive treatment is recommended. Chapter 7 (case study) deals with a practical case and demonstrates the presented methods. It is possible to use this chapter independent in a seminar or practical training course, if the concepts of time series analysis are already well understood.

This book is consecutively subdivided in a statistical part and an SAS-specific part. For better clearness the SAS-specific parts are highlighted.