Keyword: ARIMA processes

Found 79 papers in total
ARMA-GARCH models and trade rules for stock returns
ARMA-GARCH models and trade rules for stock returns
1999,
This paper deals with the analysis and modeling of daily returns time series from the...
Asymptotic properties of nearly unstable multivariate autoregressive processes
Asymptotic properties of nearly unstable multivariate autoregressive processes
1999,
Nearly unstable multidimensional autoregressive models are studied where the...
Bootstrap prediction intervals for autoregressions: Some alternatives
Bootstrap prediction intervals for autoregressions: Some alternatives
1998,
A new method is proposed to obtain interval forecasts for autoregressive models taking...
Fitting autoregressive trend stationary models with finite samples
Fitting autoregressive trend stationary models with finite samples
1999,
Sims conjectured that the conditional maximum likelihood estimator of autoregressive...
Weights and robustness of model-based seasonal adjustment
Weights and robustness of model-based seasonal adjustment
1998,
Model-based seasonal adjustment implicitly defines a set of weights at the ends of...
A two-step approach for identifying seasonal autoregressive time series forecasting models
A two-step approach for identifying seasonal autoregressive time series forecasting models
1998,
One of the most powerful and widely used methodologies for forecasting economic time...
Bayesian inferences for several autoregressive processes
Bayesian inferences for several autoregressive processes
1998,
Several first-order autoregressive processes are studied using Bayesian analysis...
Estimation and forecasting of long-memory processes with missing values
Estimation and forecasting of long-memory processes with missing values
1997,
This paper addresses the issues of maximum likelihood estimation and forecasting of a...
State space trend-cycle decomposition of the ARIMA(1,1,1) process
State space trend-cycle decomposition of the ARIMA(1,1,1) process
1997,
It has been common practice to decompose an integrated time series into a random walk...
Forecasting with preliminary data
Forecasting with preliminary data
1997,
This paper examines several methods to forecast revised US trade balance figures by...
A comparison between linear and nonlinear forecasts for nonlinear autoregressive models
A comparison between linear and nonlinear forecasts for nonlinear autoregressive models
1997,
In this paper the relative forecast performance of nonlinear models to linear models...
An application of time series analysis methods in process control
An application of time series analysis methods in process control
1996,
Methods for monitoring level shifts exist in time series since the sixties....
The performance of alternative forecasting methods for SETAR models
The performance of alternative forecasting methods for SETAR models
1997,
We compare a number of methods that have been proposed in the literature for obtaining...
Trends, lead times and forecasting
Trends, lead times and forecasting
1997,
The innovations representation for a local linear trend can adapt to long run secular...
The empirical TES methodology: Modeling empirical time series
The empirical TES methodology: Modeling empirical time series
1997,
TES (Transform-Expand-Sample) is a versatile class of stochastic sequences defined via...
ARMA models and the Box–Jenkins methodology
ARMA models and the Box–Jenkins methodology
1997,
The purpose of this paper is to apply the Box–Jenkins methodology to ARIMA...
Bayesian analysis of vector ARMA models using Gibbs sampling
Bayesian analysis of vector ARMA models using Gibbs sampling
1997,
We present a methodology for estimation, prediction, and model assessment of vector...
One-sided simultaneous prediction intervals for AR(1) and MA(1) processes with exponential innovations
One-sided simultaneous prediction intervals for AR(1) and MA(1) processes with exponential innovations
1997,
This paper is concerned with the determination of simultaneous confidence regions for...
A remark on least-squares and naive extrapolations in non-linear AR(1) processes
A remark on least-squares and naive extrapolations in non-linear AR(1) processes
1996,
The m- step least squares extrapolation is generally different from the m- step naive...
Nonlinear dependence in Finnish stock returns
Nonlinear dependence in Finnish stock returns
1994,
Past research into the evolution of Finnish stock returns focuses on modeling linear...
Non-gaussian seasonal adjustment: X-12-ARIMA versus robust structural models
Non-gaussian seasonal adjustment: X-12-ARIMA versus robust structural models
1996,
This study compares X-12-ARIMA and MING, two new seasonal adjustment methods designed...
Model selection and forecasting for long-range dependent processes
Model selection and forecasting for long-range dependent processes
1996,
Fractionally integrated autoregressive moving-average (ARFIMA) models have proved...
Level Shifts, Temporary Changes and forecasting
Level Shifts, Temporary Changes and forecasting
1995,
The purpose of this paper is to analyse the effect of not treating Level Shift and...
The decomposition of forecast in seasonal ARIMA models
The decomposition of forecast in seasonal ARIMA models
1995,
This paper presents a procedure to break down the forecast function of a seasonal...
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