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COMPSTAT pp 307-312 | Cite as

Graphical and phase space models for univariate time series

  • Roland Fried

Abstract

There are various approaches to model time series data. In the time domain ARMA-models and state space models are frequently used, while phase space models have been applied recently, too. Each approach has got its own strengths and weaknesses w.r.t. parameter estimation, prediction and coping with missing data. We use graphical models to explore and compare the structure of time series models, and focus on interpolation in e.g. seasonal models.

Keywords

Time series analysis ARMA models phase space embedding conditional independence missing data 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2000

Authors and Affiliations

  • Roland Fried
    • 1
  1. 1.Department of StatisticsUniversity of DortmundDortmundGermany

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