Time Series Models: AR, MA, ARMA, & All That

Abstract

Time series are ubiquitous in everyday manipulations of financial data. They are especially well suited to the nature of financial markets, and models and methods have been developed to capture time dependencies and produce forecasts. This is the main reason for their popularity. This chapter is devoted to a general introduction to the linear theory of time series, restricted to the univariate case. Later in the book, we will consider the multivariate case, and we will recast the analysis of time series data in the framework of state space models in order to consider and analyze nonlinear models.