Premium
ARIMA, cointegration, Kalman‐filter, α ‐stable distributions
Author(s) -
Emmenegger JeanFrançois,
Bardadym Tamara,
Pervukhina Elena,
Serbinenko Anna
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700150
Subject(s) - cointegration , autoregressive integrated moving average , kalman filter , sample (material) , series (stratigraphy) , econometrics , subject (documents) , economics , group (periodic table) , time series , political science , statistics , mathematics , regional science , geography , computer science , library science , geology , chemistry , thermodynamics , physics , paleontology , organic chemistry
A group of scientists, from Ukraine, the United Kingdom and Switzerland met at the 3rd International Congress on Industrial and Applied Mathematics (ICIAM95) Hamburg. They decided to pool their applied research efforts and experiences in the domain of mathematics, statistics and economics and to collaborate in empirical research on the subject of the transitional economies of Ukraine and Eastern Europe after 1989. The activity started in autumn 1995 within the framework of a project titled Analysis of Economic and Environmental Time Series (AEETS).At theMinisymposium Cointegrating, Kalman Filtering of Economic Time Series, α‐stable Distributions , of the ICIAM07 in Zurich, the AEETS group has presented a sample of recently treated questions. In this abstract two of these subjects are summarised. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)