2026-09-21T03:17:48Z https://opus4.kobv.de/opus4-uni-passau/oai

oai:kobv.de-opus4-uni-passau:142 2025-08-13 bibliography:false doc-type:PhDThesis status-type:publishedVersion open_access ddc ddc:310

Autoregressive Neural Network Processes - Univariate, Multivariate and Cointegrated Models with Application to the German Automobile Industry Autoregressive Neuronale Netze - Univariate, Multivariate und Kointegrierte Modelle mit einer Anwendung aus dem Bereich der deutschen Automobilindustrie Sebastian Dietz 310 Nichtlineare Zeitreihenanalyse Zeitreihenanalyse Ökonometrie Nichtlineare Optimierung Nonlinear Time Series Analysis Neural Networks Nonlinear Optimization Econometrics Prediction of economic variables is a basic component not only for economic models, but also for many business decisions. Nevertheless it is difficult to produce accurate predictions in times of economic crises, which cause nonlinear effects in the data. In this dissertation a nonlinear model for analysis of time series with nonlinear effects is introduced. Linear autoregressive processes are extended by neural networks to overcome the problem of nonlinearity. This idea is based on the universal approximation property of single hidden layer feedforward neural networks of Hornik (1993). Univariate Autoregressive Neural Network Processes (AR-NN) as well as Vector Autoregressive Neural Network Processes (VAR-NN) and Neural Network Vector Error Correction Models (NN-VEC) are introduced. Various methods for variable selection, parameter estimation and inference are discussed. AR-NN's as well as a NN-VEC are used for prediction and analysis of the relationships between 4 variables related to the German automobile industry: The US Dollar to Euro exchange rate, the industrial output of the German automobile industry, the sales of imported cars in the USA and an index of shares of German automobile manufacturing companies. Prediction results are compared to various linear and nonlinear univariate and multivariate models. Universität Passau Passau Innstrasse 29, 94032 Passau Gertrud Moosmüller Prof. Dr. 2011-05-18 2011-06-08 PhDThesis Text publishedVersion urn:nbn:de:bvb:739-opus-22524 application/pdf eng Standardbedingung laut Einverständniserklärung thesis.doctoral Universität Passau Passau Wirtschaftswissenschaftliche Fakultät 1 https://opus4.kobv.de/opus4-uni-passau/oai/container/index/docId/142 https://opus4.kobv.de/opus4-uni-passau/frontdoor/index/index/docId/142