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Use R!Advisors:Robert GentlemanKurt HornikGiovanni ParmigianiFor other titles published in this series, go to
Paul S.P. Cowpertwait·Andrew V. MetcalfeIntroductory Time Serieswith R123
Paul S.P. CowpertwaitInst. Information andMathematical SciencesMassey UniversityAucklandAlbany CampusNew Zealand[email protected]Andrew V. MetcalfeSchool of MathematicalSciencesUniversity of AdelaideAdelaide SA 5005Australia[email protected]Series EditorsRobert GentlemanProgram in Computational BiologyDivision of Public Health SciencesFred Hutchinson Cancer Research Center1100 Fairview Avenue, N. M2-B876Seattle, Washington 98109USAGiovanni ParmigianiThe Sidney Kimmel Comprehensive CancerCenter at Johns Hopkins University550 North BroadwayBaltimore, MD 21205-2011USAKurt HornikDepartment of Statistik and MathematikWirtschaftsuniversit¨at Wien Augasse 2-6A-1090 WienAustriaISBN 978-0-387-88697-8e-ISBN 978-0-387-88698-5DOI 10.1007/978-0-387-88698-5Springer Dordrecht Heidelberg London New YorkLibrary of Congress Control Number: 2009928496c Springer Science+Business Media, LLC 2009All rights reserved. This work may not be translated or copied in whole or in part without the writtenpermission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York,NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use inconnection with any form of information storage and retrieval, electronic adaptation, computersoftware, or by similar or dissimilar methodology now known or hereafter developed is forbidden.The use in this publication of trade names, trademarks, service marks, and similar terms, even ifthey are not identified as such, is not to be taken as an expression of opinion as to whether or notthey are subject to proprietary rights.Printed on acid-free paperSpringer is part of Springer Science+Business Media ()
In memory of Ian Cowpertwait
PrefaceRhas a command line interface that offers considerable advantages over menusystems in terms of efficiency and speed once the commands are known and thelanguage understood. However, the command line system can be daunting forthe first-time user, so there is a need for concise texts to enable the student oranalyst to make progress withRin their area of study. This book aims to fulfilthat need in the area oftime seriesto enable the non-specialist to progress,at a fairly quick pace, to a level where they can confidently apply a range oftime series methods to a variety of data sets. The book assumes the readerhas a knowledge typical of a first-year university statistics course and is basedaround lecture notes from a range of time series courses that we have taughtover the last twenty years. Some of this material has been delivered to post-graduate finance students during a concentrated six-week course and was wellreceived, so a selection of the material could be mastered in a concentratedcourse, although in general it would be more suited to being spread over acomplete semester.

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