Current developments in time series modelling
type: Item
instance of: scholarly article
title: Current developments in time series modelling
zbMATH Open document ID: 0667.62068
DOI: 10.1016/0304-4076(88)90076-0
author: M. B. Priestley
published in: Journal of Econometrics
publication date: 1988-01-01T00:00:00Z
review text: A survey is given of some current developments in time series analysis. After a brief discussion of linear models, ARMA models and state-space representations, the discussion concentrates on a fairly general class of non-linear models called `state-dependent models' and the applications of these to the problem of identifying general forms of non-linear structure. The effectiveness of the estimation technique is studied by means of numerical examples on simulated data. Towards the end of the paper it is indicated how these ideas may be applied to the study of systems governed by non-linear differential equations.
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4092612
zbMATH Keywords: survey
zbMATH Keywords: current developments
zbMATH Keywords: time series analysis
zbMATH Keywords: linear models
zbMATH Keywords: ARMA models
zbMATH Keywords: state-space representations
zbMATH Keywords: non-linear models
zbMATH Keywords: state-dependent models
zbMATH Keywords: non-linear differential equations
MaRDI profile type: Publication
full work available at URL: 0304-4076(88)90076-0
OpenAlex ID: W2049424743
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description: scientific article; zbMATH DE number 4092612