Keyword: ARIMA processes

Found 79 papers in total
Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order
Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order
2002,
Recent studies on bootstrap prediction intervals for autoregressive (AR) model provide...
A multiple replenishment contract with ARIMA demand processes
A multiple replenishment contract with ARIMA demand processes
2003,
This paper is concerned with a multiple replenishment contract with a purchase price...
Estimation of the mean of multivariate AR processes
Estimation of the mean of multivariate AR processes
2002,
In this paper, we show that for autoregressive processes the estimators of mean are...
Diagnostic checking in linear processes with infinite variance
Diagnostic checking in linear processes with infinite variance
2001,
We consider empirical autocorrelations of residuals from infinite variance...
Prediction in first order autoregressive processes, a small sample simulation
Prediction in first order autoregressive processes, a small sample simulation
2001,
In this paper the author elucidates how the estimation of the unknown parameters, such...
Outlier detection in regression models with ARIMA errors using robust estimates
Outlier detection in regression models with ARIMA errors using robust estimates
2001,
A diagnostic procedure for detecting additive and innovation outliers as well as level...
Displays for direct comparison of ARIMA models
Displays for direct comparison of ARIMA models
2002,
The series of graphs presented here, based on standard time series diagnostics and...
Sensitivity of univariate AR(1) time-series forecasts near the unit root
Sensitivity of univariate AR(1) time-series forecasts near the unit root
2001,
We consider the linear time-series model y t = d t + u t (t = 1,...,n) where d t...
The approximation of long-memory processes by an ARMA model
The approximation of long-memory processes by an ARMA model
2001,
A mean square error criterion is proposed in this paper to provide a systematic...
Multivariate stable ARMA processes with time dependent coefficients
Multivariate stable ARMA processes with time dependent coefficients
2001,
This paper considers the class of m -variate autoregressive moving average (ARMA)...
‘d’ parameter estimation in ARFIMA models
‘d’ parameter estimation in ARFIMA models
2000,
ARFIMA models are characterized by both their long-range dependence and fractional...
Bounds for the least squares extrapolation in non-linear AR(1) processes
Bounds for the least squares extrapolation in non-linear AR(1) processes
2001,
It is proved that formula for least squares extrapolation in stationary non-linear...
Detecting changes in autoregressive processes with &Xmacr; and exponentially weighted moving average charts
Detecting changes in autoregressive processes with &Xmacr; and exponentially weighted moving average charts
2000,
The traditional use of control charts necessarily assumes the independence of data. It...
The use of canonical correlation analysis to identify the order of multivariate ARMA models: Simulation and application
The use of canonical correlation analysis to identify the order of multivariate ARMA models: Simulation and application
2000,
This paper is concerned with how canonical correlation can be used to identify the...
Automatic ARIMA modeling including interventions, using time series expert software
Automatic ARIMA modeling including interventions, using time series expert software
2000,
This article has three objectives: (a) to describe the method of automatic ARIMA...
Updating the forecast function of ARIMA models and the link with DLMs
Updating the forecast function of ARIMA models and the link with DLMs
1999,
This paper shows that the whole forecast function of ARIMA time series models, and not...
Finite sample prediction and interpolation for ARIMA models with missing data
Finite sample prediction and interpolation for ARIMA models with missing data
1999,
A transformation which allows Cholesky decomposition to be used to evaluate the exact...
Testing for short memory in a VARMA process
Testing for short memory in a VARMA process
1999,
We generalize the short-term memory test of an ARMA model, presented by Öller, to...
Comparison of auto-regressive moving average and multilayer perceptron based methods for economic time series forecasting
Comparison of auto-regressive moving average and multilayer perceptron based methods for economic time series forecasting
1999,
In this paper two popular time series prediction methods – the Auto-Regressive...
Linear signal extraction with intervention techniques in non-linear time series
Linear signal extraction with intervention techniques in non-linear time series
1998,
Seasonal adjustment is performed in some data-producing agencies according to the...
Multi-step forecasting for long-memory processes
Multi-step forecasting for long-memory processes
1999,
In this paper we present results of a simulation study to assess and compare the...
The impact of measurement errors on ARMA prediction
The impact of measurement errors on ARMA prediction
1999,
Measurement errors can have dramatic impact on the outcome of empirical analysis. In...
Do long-memory models have long memory?
Do long-memory models have long memory?
2000,
This paper examines the predictability memory of fractionally integrated ARMA...
1. The model error for AR and ARMA processes, and 2. The ‘little bootstrap’ method for autoregressive model selection
1. The model error for AR and ARMA processes, and 2. The ‘little bootstrap’ method for autoregressive model selection
1995,
There are two consecutive papers, concerning one subject. First, the model error for...
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