Chapter 5. Models for Time Series

  1. Peter Congdon

Published Online: 13 MAY 2003

DOI: 10.1002/0470867159.ch5

Applied Bayesian Modelling

Applied Bayesian Modelling

How to Cite

Congdon, P. (2003) Models for Time Series, in Applied Bayesian Modelling, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470867159.ch5

Author Information

  1. Queen Mary, University of London, UK

Publication History

  1. Published Online: 13 MAY 2003
  2. Published Print: 11 MAR 2003

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780471486954

Online ISBN: 9780470867150

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Summary

This chapter contains sections titled:

  • Introduction

  • Autoregressive and Moving Average Models under Stationarity and Non-stationarity

  • Discrete Outcomes

  • Error Correction Models

  • Dynamic Linear Models and Time Varying Coefficients

  • Stochastic Variances and Stochastic Volatility

  • Modelling Structural Shifts

  • Review

  • References

  • Exercises