Textbook in PDF format Introduction Introductory remarks Estimation and elimination of trends Estimation and elimination of seasonal component Stationarity, Autocovariance and Autocorrelation Nonparametric Estimation of Mean and ACVF Estimation of the Expected Value of a Stationary Time Series Linear Time Series Nonparametric Estimation of the Autocovariance Function Autoregressive Processes Autocovariance Function of Autoregressive Processes Parameter Estimation for Autoregressive Processes Partial Autocorrelation and Order Selection Autoregressive Moving Average or ARMA processes Prediction Prediction with Finite Past Prediction with In#nite Past Spectral Density and Periodogram References Examples using R Detrending and Deseasonalizing ACF of the Noise in the Airpass Dataset Simulation of AR and MA Processes Autocovariance Function for AR Processes Parameter Estimation for AR Processes Forecasting for ARMA Processes Periodogram and Spectral Density Estimators