State space modelling versus ARIMA time-series modelling

MaRDI QIDQ3566240zbMATH OpenFDO

Authors S. Ravichandran, Prajneshu

Publication date 7 June 2010

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Recommendations

• The Foreman Lecture: the State Space Approach to Time Series Analysis and its Potential for Official Statistics (with Discussion)
• A State Space Modeling Approach for Time Series Forecasting
• Time series analysis by state space methods.
• scientific article; zbMATH DE number 1834018
• Introduction to time series modeling. Translated from the Japanese by the author

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