This page provides links to example programs for Introduction to Time Series and Forecasting, by Brockwell and Davis, 2nd Edition (2002, Springer-Verlag).
The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to actually run any of the examples, you should download the Zip file.
If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.
Note that all of the textbook example, data, and procedure files currently available on our website are also included on the CD with the current release of the RATS software.
| File Name | Description |
| brockwell.zip | Zip file with all programs, data, procedure files |
| brockwell_pre700.zip | Zip file with older versions of files (pre Version 7.0) |
| itsfp010.prg | Polynomial trend |
| itsfp011.prg | Polynomial trend |
| itsfp013.prg | Harmonic regression |
| itsfp020.prg | ACF function of randomly drawn data |
| itsfp021.prg | Linear regression; examination of correlated residuals |
| itsfp025.prg | Detrending by symmetric filter |
| itsfp028.prg | Smoothing with exponential smoothing and FFT |
| itsfp030.prg | Detrending by differencing |
| itsfp032.prg | Classical additive decomposition |
| itsfp033.prg | Seasonal differencing |
| itsfp038.prg | Independence tests |
| itsfp096.prg | BJIDENT procedure |
| itsfp099.prg | BJIDENT procedure |
| itsfp119.prg | Spectral density; theoretical from ARMA |
| itsfp127.prg | Spectral density estimation |
| itsfp133.prg | Spectral density; fitted ARMA model |
| itsfp143.prg | AR models; AIC, preliminary estimates by Yule-Walker |
| itsfp145.prg | MA models; preliminary estimates |
| itsfp153.prg | Innovations algorithm |
| itsfp163.prg | AR(1), maximum likelihood |
| itsfp164.prg | ARMA(1,1), maximum likelihood |
| itsfp167.prg | ARMA model; forecasting |
| itsfp171.prg | FPE criterion |
| itsfp174.prg | AIC/BIC criteria |
| itsfp181.prg | ARIMA model |
| itsfp189.prg | Seasonal ARIMA model |
| itsfp193.prg | ARMA model |
| itsfp195.prg | Unit root tests |
| itsfp197.prg | Unit root tests for MA |
| itsfp202.prg | ARIMA model; forecasting |
| itsfp206.prg | Seasonal ARIMA model |
| itsfp210.prg | Seasonal ARIMA model |
| itsfp215.prg | GLS with ARMA error process |
| itsfp216.prg | GLS with ARMA error process |
| itsfp217.prg | Intervention model |
| itsfp225.prg | Cross correlations |
| itsfp228.prg | Transfer function model |
| itsfp237.prg | Transfer function model - identification |
| itsfp238.prg | Transfer function model |
| itsfp248.prg | VAR; Yule-Walker estimation |
| itsfp281.prg | State space (UCM) model |
| itsfp291.prg | EM algorithm for missing values |
| itsfp306.prg | Integer-valued dynamic model |
| itsfp324.prg | Exponential smoothing |
| itsfp327.prg | Exponential smoothing |
| itsfp335.prg | Transfer function model |
| itsfp338.prg | Transfer function model |
| itsfp341.prg | Intervention model |
| itsfp351.prg | ARCH |
| itsfp353.prg | GARCH model |
| itsfp356.prg | ARMA-GARCH model |
| itsfp363.prg | Fractional integration |