Present position and potential developments: some personal views: time series analysis

The relation between a frequency domain analysis and a time domain analysis of a time series is discussed. The effect of autocorrelation in the errors on least squares regression analysis is considered. Approximations to the second order of accuracy of the distributions of some statistics of interest in time series analysis are described. The potential of the Kalman filter for some time series problems including forecasting and seasonal adjustment is assessed.

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