The material contained in this book originated in interrogations about modern practice in time series analysis. - Why do we use models optimized with respect to one-step ahead foreca- ing performances for applications involving multi-step ahead forecasts? - Why do we infer 'long-term' properties (unit-roots) of an unknown process from statistics essentially based on short-term one-step ahead forecasting performances of particular time series models? - Are we able to detect turning-points of trend components earlier than with traditional signal extraction procedures? The link between 'signal...