Introduction to modern time series analysis

MaRDI QIDQ5758063zbMATH OpenFDO

Authors Jürgen Wolters, Gebhard Kirchgaessner

Publication date 7 September 2007

zbMATH Keywords

ARCH modelsARMA processesautoregressive processescointegrated processesforecastingGARCH modelsGranger causalityinformation criteriamoving average processesnonstationary processesstationary processesstationary testsunit root testsvector autoregressive processes

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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