The Historical Development of Time Series Analysis
Nie Shu-yuan · Journal of Guangxi University for Nationalities · 2012
The paper tells the development process of time series analysis.The early natural sciences mainly applied simple descriptive analysis;The basic notions,such as difference、index numbers and moving averages etc.pushed the development of statistics time series analysis;The periodogram method,which was based on Fourier series,was the key content in the frequency domain analysis;The time domain analysis method has experienced a long process,which began from AR(2),AR(4) model to AR(s) model,combining with MA(h) model,formed ARMA(s,h) model,ARIMA model and at last turned up ARCH,the class of ARCH model.