More effective time-series analysis and forecasting

DOI10.1016/0377-0427(95)00011-9zbMath0847.62073OpenAlexW2027582252WikidataQ126297114 ScholiaQ126297114MaRDI QIDQ1917907

Oliver D. Anderson

Publication date: 8 October 1996

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(95)00011-9

zbMATH Keywords

serial correlationforecastingARIMAprocess modellingARMAtime-seriessample autocorrelationspartial autocorrelationsARUMA processesidentifying nonstationarityimproving time-domain modellingnonstationary models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• The serial correlation structure for a random process with steps
• Discriminating between nonstationary and nearly nonstationary time series models: A simulation study
• Sampled autocovariance and autocorrelation results for linear time processes
• Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting
• Small-sample Autocorrelation Structure for Long-memory Time Series
• Serial Dependence Properties of Linear Processes
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• The behaviour of the sample autocorrelation function for an integrated moving average process
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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