A Very British Affair: Six Britons and the Development of Time Series Analysis During the 20th Century (Palgrave Advanced Texts in Econometrics)

This book develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance. Front Matter....Pages i-xiii Time Series Analysis and the British....Pages 1-2 Yule: The Time-Correlation Problem, Nonsense Correlations, Periodicity and Autoregressions....Pages 3-69 Kendall: Generalizations and Extensions of Stationary Autoregressive Models....Pages 70-108 Durbin: Inference, Estimation, Seasonal Adjustment and Structural Modelling....Pages 109-139 Jenkins: Inference in Autoregressive Models and the Development of Spectral Analysis....Pages 140-160 Box and Jenkins: Time Series Analysis, Forecasting and Control....Pages 161-215 Box and Jenkins: Modelling Seasonal Time Series and Transfer Function Analysis....Pages 216-239 Box and Jenkins: Developments Post-1970....Pages 240-287 Granger: Spectral Analysis, Causality, Forecasting, Model Interpretation and Non-linearity....Pages 288-342 Granger: Long Memory, Fractional Differencing, Spurious Regressions and Co-integration....Pages 343-393 The End of the Affair?....Pages 394-396 Back Matter....Pages 397-437 This book develops the major themes of time series analysis from its beginnings in the early part of the 20th Century through to the present day. This is done by uniquely concentrating on the research of six distinguished British statisticians, Udny Yule, Maurice Kendall, James Durbin, George Box and Gwilym Jenkins, and Clive Granger, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance, accompanied by great technical skill and unusual integrity. Many of the key examples and graphics found in the seminal articles of these authors are recreated and their original voices are provided so that their readers can become acquainted with the contemporary views of the protagonists. This book should be of interest to anyone who desires an historical appreciation of the development of time series analysis and it also provides an essential background to current advanced textbooks on the subjects This volume develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance