25 years of time series forecasting

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

A New Approach to Linear Filtering and Prediction Problems

R. E. Kalman · Journal of Basic Engineering · 1960 · 31K citations

Natural Sciences, Mathematics, Dynamical Systems +16

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Time Series Analysis: Forecasting and Control

Michael D. Geurts, George E. P. Box, Gwilym M. Jenkins · Journal of Marketing Research · 1977 · 19.3K citations

Computing, Data Science, Forecasting +11

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

Natural Sciences, Biostatistics, Statistics +4