Introduction to special issue commemorating the 50th anniversary of the Kalman Filter and 40th anniversary of Box and Jenkins

Abstract

This special issue of the Journal of Forecasting jointly celebrates the 40th anniversary of the publication of George Box and Gwilym Jenkins' highly infl uential book Time Series Analysis: Forecasting and Control, which introduced a robust and easily implementable strategy for modelling time series, and the 50th anniversary of the appearance of Rudolf Kalman's article 'A new approach to linear fi ltering and prediction problems' in the Journal of Basic Engineering, which has had an extraordinary impact in many diverse fi elds, has led to major advances in recursive estimation, and has introduced the term Kalman fi lter into the lexicon of time series analysis and forecasting. The huge number of papers published in the Journal of Forecasting that reference these two publications bears testament to their seminal status and long-lasting infl uence, making them a natural choice to base a special issue around. Copyright © 2010 John Wiley & Sons, Ltd. TIME SERIES ANALYSIS: FORECASTING AND CONTROLAfter 40 years, many still regard this book as the bible of time series analysis. It not only popularizes time series applications, but also leads to many new developments in time series research. In an era without powerful computers and statistical software, the book provided a practical iterative procedure for modelling time series data. The concept of identifi cation-estimation-checking continues to be as important and relevant as ever. As a matter of fact, the importance of diagnostic checking in modelling has become even more critical in this data-rich environment for all statistical analyses.The airline seasonal time series model remains widely applicable for most business and economic data. Indeed, our MBA students are equally impressed by the simplicity and applicability of the model in forecasting quarterly earnings of companies across many industrial sectors. The transfer function