Multivariate time series analysis and forecasting

MaRDI QIDQ3645683zbMATH OpenFDO

Authors Manfred Deistler

Publication date 18 November 2009

zbMATH Keywords

ARMA systemslinear dynamic factor modelsprincipal componentsstate space systems

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

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Cited in

(24)

• Multivariate time series analysis with state space models
• Forecasting international growth rates with leading indicators: A system- theoretic approach
• More effective time-series analysis and forecasting
• Multivariate time series analysis from a Bayesian machine learning perspective
• Future profiling of time series behavior
• Flow field forecasting for univariate time series
• scientific article; zbMATH DE number 3860237 (Why is no real title available?)
• State space modeling of multiple time series
• The analysis of tertiary-industry with ARIMAX model
• An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model
• Time-series decomposition and forecasting
• AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING
• scientific article; zbMATH DE number 472978 (Why is no real title available?)
• scientific article; zbMATH DE number 1057980 (Why is no real title available?)
• scientific article; zbMATH DE number 2060193 (Why is no real title available?)
• scientific article; zbMATH DE number 1747151 (Why is no real title available?)
• Forecasting multivariate time series with the theta method
• A Multivariate Time Series Analysis of Some Flour Price Data
• Hidden multi-resolution ARMA models for nonlinear time series forecasting
• Linear models for multivariate time series
• Modelling multiple time series: Achieving the aims
• Identifying Patterns in Multiple Time Series Data
• Conditional forecasting with a multivariate time series model
• Multivariate discount weighted regression and local level models

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