These apply to the third and subsequent printings. How do I tell which
printing
I have? If you have a first or second printing, go to Errata 1 & 2
CHAPTER 1
Page 30, Property P1.1[clarification]: As a point of clarification, in
addition to pointing readers to Theorem A.7 prior to the statement of the property [and in particular,
equation (A.56) on page 520] we should add a footnote to the property saying something like:
The general conditions are that xt is iid with finite fourth moment.
A sufficient condition for this to hold is that the data are white Gaussian noise.
We thank Professor Philip Turk of the Department of Mathematics and Statistics at
Northern Arizona University for asking for clarification.
Page 35, below equation (1.43)[clarification]:
The vector process is stationary, so it would be better to write
μ = (μ1, μ2,..., μp)'
and leave off the subscripts t in the vector. We thank Nalini Ravishanker, Department of Statistics, University of Connecticut, for catching this.
Page 56, Figure 2.3 and Page 78, Figure 2.17[clarification]: It looks like mortality has been scaled by a factor
of two in these graphs; that is, it looks like 2*mort is being plotted instead of
mort, but we're not really sure it is a factor of 2.
Both of those figures were produced in Splus on a laptop that doesn't exist anymore, so
there's no telling what happened. There's no qualitative difference in the graphics so
you can ignore this blooper, but we thought we'd point it out in case you were wondering.
Thanks again to Nalini Ravishanker for her sharp eyes.
Page 79, Problem 2.3 [clarification]: For this exercise, rather than generating only one
random walk, it might be better to
repeat the question a few times (three or four times ought to do it - and with
different seeds, of course) and construct a grid of plots.
Page 154, Footnote 8 [clarification]: If you use arima() to
fit an ARIMA(p,d,q) model, R will calculate AIC
with a penalty term of 2(p+q+1) if d > 0 or if you specify
include.mean=F. If you use the default settings and d = 0,
R will use a penalty term of 2(p+q+2).
Thanks to Pierre Duchesne, University of Montreal, for verifying this.
The R help file for AIC (type ?AIC in R) was the source of the confusion; the help file
applies to lm() but not directly to arima().
Page 225, equation (4.103):
exp{−iφxy(ω)}
should be exp{iφxy(ω)}. Thanks to
Douglas P. Wiens, Department of Mathematical and
Statistical Sciences, University of Alberta, for pointing this out.