Keyword: ARIMA processes

Found 79 papers in total
Least squares based iterative parameter estimation algorithm for multivariable controlled ARMA system modelling with finite measurement data
Least squares based iterative parameter estimation algorithm for multivariable controlled ARMA system modelling with finite measurement data
2011,
Difficulties of identification for multivariable controlled autoregressive moving...
ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
2009,
This article studies Man and Tiao's (2006) low-order autoregressive fractionally...
Simultaneous prediction intervals for ARMA processes with stable innovations
Simultaneous prediction intervals for ARMA processes with stable innovations
2009,
We describe a method for calculating simultaneous prediction intervals for ARMA times...
Linking series generated at different frequencies
Linking series generated at different frequencies
2008,
This is a report on our studies of the systematical use of mixed-frequency datasets....
Forecasting with panel data
Forecasting with panel data
2008,
This paper gives a brief survey of forecasting with panel data. It begins with a...
Optimal prediction with nonstationary ARFIMA model
Optimal prediction with nonstationary ARFIMA model
2007,
We propose two methods to predict nonstationary long-memory time series. In the first...
Updating ARMA predictions for temporal aggregates
Updating ARMA predictions for temporal aggregates
2004,
This article develops and extends previous investigations on the temporal aggregation...
Time series analysis of process data
Time series analysis of process data
2007,
Statistical Process Control (SPC) is an integral component of almost every industrial...
Out of control (outlier) detection in business data using the ARMA (1,1) model
Out of control (outlier) detection in business data using the ARMA (1,1) model
2007,
Statistical Process Control (SPC) is an integral component of nearly every industrial...
Some evidence on forecasting time-series with support vector machines
Some evidence on forecasting time-series with support vector machines
2006,
The importance of predicting future values of a time-series transcends a range of...
ARIMA modeling of event induced stock price reactions in Austria
ARIMA modeling of event induced stock price reactions in Austria
2003,
In this paper an event study is conducted to examine stock price reactions on...
Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program
Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program
2004,
We examine the effect of damping X-12-ARIMA's estimated seasonable variation on the...
Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”
Seasonal adjustment perspectives on “Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program”
2004,
We examined the shrinkage methods of Miller and William from the perspective of...
Implementation issues on shrinkage estimators for seasonal factors within X-11 seasonal adjustment method
Implementation issues on shrinkage estimators for seasonal factors within X-11 seasonal adjustment method
2004,
This commentary on Miller and Williams discusses how shrinkage can be implemented...
Bootstrap prediction intervals for power-transformed time series
Bootstrap prediction intervals for power-transformed time series
2005,
In this paper, we propose a bootstrap procedure to construct prediction intervals for...
Bayesian time series analysis of periodic behaviour and spectral structure
Bayesian time series analysis of periodic behaviour and spectral structure
2004,
Analysis, model selection and forecasting in univariate time series models can be...
Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study
Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study
2004,
For a fractionally integrated ARFIMA( p,d,q ) model, temporal aggregation changes the...
Comparing forecasts of inflation using time distance
Comparing forecasts of inflation using time distance
2003,
When considering the relative quality of forecasts the method of comparison is...
On the specification of cointegrated autoregressive moving-average forecasting systems
On the specification of cointegrated autoregressive moving-average forecasting systems
2003,
This paper discusses equilibrium correction, echelon canonical form vector...
Distance and prediction error variance constraints for ARMA model portfolios
Distance and prediction error variance constraints for ARMA model portfolios
2004,
Poskitt and Tremayne present a posterior odds ratio (ℜ) portfolio selection...
Naïve, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance
Naïve, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance
2004,
We examine the forecasting performance of a number of parametric and nonparametric...
Combining time series models for forecasting
Combining time series models for forecasting
2004,
Statistical models (e.g., ARIMA models) have commonly been used in time series data...
Evolving time series forecasting ARMA models
Evolving time series forecasting ARMA models
2004,
Time Series Forecasting (TSF) allows the modeling of complex systems as...
Evolution of ARMA demand in supply chains
Evolution of ARMA demand in supply chains
2004,
This paper shows that an ARMA demand generates an ARMA order history when ordering...
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