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ARIMA Time Series Models

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

In this chapter we will deal with classic, linear time series analysis. At first we will define the general linear process.

References

  1. Box, G. E. P., & Jenkins, G. M. (1976). Time series analysis: Forecasting and control. San Francisco: Holden-Day.zbMATHGoogle Scholar
  2. Brockwell, P., & Davis, R. (1991). Time series: Theory and methods. Springer-Verlag.CrossRefGoogle Scholar
  3. Gouriéroux, C., & Monfort, A. (1996). Time series models. Economica.Google Scholar
  4. Hamilton, J. D. (1994). Time series analysis. Princeton, NJ: Princeton University Press.zbMATHGoogle Scholar
  5. Schlittgen, R., & Streitberg, B. (1995). Zeitreihenanalyse. Oldenbourg.Google Scholar

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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