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nonlinear time series analysis [PDF]
, 2008 Since the early 1980s, there has been a growing interest in stochastic nonlinear dynamical systems of the form, where is a zero mean, covariance stationary process, is the conditional volatility, and is an independent and identically distributed noise process.
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2009
Abstract This article discusses time-series methods such as simple time-series regressions, ARIMA models, vector autoregression (VAR) models, and unit root and error correction models (ECM). It specifically presents a brief history of time-series analysis before moving to a review of the basic time-series model.
Jon C. W. Pevehouse, Jason D. Brozek
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Abstract This article discusses time-series methods such as simple time-series regressions, ARIMA models, vector autoregression (VAR) models, and unit root and error correction models (ECM). It specifically presents a brief history of time-series analysis before moving to a review of the basic time-series model.
Jon C. W. Pevehouse, Jason D. Brozek
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Technometrics, 1997
Preface1Difference Equations12Lag Operators253Stationary ARMA Processes434Forecasting725Maximum Likelihood Estimation1176Spectral Analysis1527Asymptotic Distribution Theory1808Linear Regression Models2009Linear Systems of Simultaneous Equations23310Covariance-Stationary Vector Processes25711Vector Autoregressions29112Bayesian Analysis35113The Kalman ...
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Preface1Difference Equations12Lag Operators253Stationary ARMA Processes434Forecasting725Maximum Likelihood Estimation1176Spectral Analysis1527Asymptotic Distribution Theory1808Linear Regression Models2009Linear Systems of Simultaneous Equations23310Covariance-Stationary Vector Processes25711Vector Autoregressions29112Bayesian Analysis35113The Kalman ...
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2004
Time series analysis is the technique used to study observations that are measured over time. Examples include natural phenomena (temperature, humidity, wind speed) and business variables (price of commodities, stock market indices) that are measured at regular intervals (hourly, daily).
Richard M. Heiberger, Burt Holland
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Time series analysis is the technique used to study observations that are measured over time. Examples include natural phenomena (temperature, humidity, wind speed) and business variables (price of commodities, stock market indices) that are measured at regular intervals (hourly, daily).
Richard M. Heiberger, Burt Holland
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