Automatic SARIMA modeling and forecast accuracy
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Cites work
- A new look at the statistical model identification
- Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimating the dimension of a model
- Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 1069599 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3251902 (Why is no real title available?)
- Identification of seasonal arima models using a filtering method
- On a measure of lack of fit in time series models
- Recursive estimation of mixed autoregressive-moving average order
- Testing for a unit root in time series regression
- Testing for Unit Roots in Seasonal Time Series
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Time series analysis by state space methods
- Time series analysis. Forecasting and control
- Time series and panel data econometrics
- Time series econometrics
Cited in
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- Automatic specification of piecewise linear additive models: application to forecasting natural gas demand
- Reg-ARIMA model identification: empirical evidence
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- Prediction of the transaction volume of cash machines with SARIMAX models: a case study
- A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
- An automatic procedure for Box-Jenkins model building
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