Numerical methods for fitting and simulating Autoregressive-to-Anything Processes

Numerical methods for fitting and simulating Autoregressive-to-Anything Processes

0.00 Avg rating0 Votes
Article ID: iaor1999453
Country: United States
Volume: 10
Issue: 1
Start Page Number: 72
End Page Number: 81
Publication Date: Dec 1998
Journal: INFORMS Journal On Computing
Authors: ,
Keywords: time series & forecasting methods
Abstract:

An ARTA (AutoRegressive-to-Anything) Process is a time series with arbitrary marginal distribution and autocorrelation structure specified through finite lag p. We develop an efficient numerical method for fitting ARTA processes and discuss its implementation in the software artafacts. We also present the software artagen that generates observations from ARTA processes for use as inputs to a computer simulation. We illustrate the use of the software with a real-world example.

Reviews

Required fields are marked *. Your email address will not be published.