Introduction to modern time series analysis

zbMATH Open1148.62075MaRDI QIDQ5758063FDOQ5758063

Authors: Jürgen Wolters, Gebhard Kirchgaessner 

Publication date: 7 September 2007

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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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• Topics in dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems.
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• Time series and panel data econometrics
• Models for dependent time series
• Mathematical Foundations of Time Series Analysis
• Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks
• Autoregressive approaches to import-export time series. I: Basic techniques
• Autoregressive approaches to import-export time series. II: A concrete case study
• Generalized Riemann hypothesis, time series and normal distributions
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• Econometric modelling with time series. Specification, estimation and testing
• The cointegrated VAR model: Methodology and applications.
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• Time series analysis in economics: a brief survey and prospect
• Control charts based on fuzzy costs for monitoring short autocorrelated time series

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