Introduction to modern time series analysis

MaRDI QIDQ5758063zbMATH OpenFDO

Authors Jürgen Wolters, Gebhard Kirchgaessner

Publication date 7 September 2007

zbMATH Keywords

forecastingGARCH modelsinformation criteriaARMA processesGranger causalitystationary processesautoregressive processesnonstationary processesunit root testsARCH modelsmoving average processesvector autoregressive processesstationary testscointegrated processes

Mathematics Subject Classification ID

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

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