A Historical Study About the Developing Process of the Classical Linear Time Series Models

Time Series Modelling

“…Indeed, one of the motivations for announcing the Special Issue in 2020 was the fact that this year can be considered a twofold ’anniversary year’ of time series modelling. On the one hand, the correlogram, the autoregressive (AR), and the moving-average (MA) models for time series, all of which are nowadays part of any course on time series analysis and covered by any statistical software, date back to the 1920s (mainly driven by G. U. Yule, G. T. Walker, and E. E. Slutzky; see Nie and Wu [ 1 ] for a detailed discussion). On the other hand, the first comprehensive textbook on time series was published by Box and Jenkins [ 2 ] in 1970, so 2020 allowed the celebration of both the semi-centennial and centennial anniversary at the same time.…”