More effective time-series analysis and forecasting

DOI10.1016/0377-0427(95)00011-9MaRDI QIDQ1917907zbMATH OpenOpenAlexWikidataFDO

Authors 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 correlationARIMAforecastingARMAtime-seriessample autocorrelationsprocess modellingpartial autocorrelationsARUMA processesidentifying nonstationarityimproving time-domain modellingnonstationary models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3846713 (Why is no real title available?)
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3763134 (Why is no real title available?)
• scientific article; zbMATH DE number 3785938 (Why is no real title available?)
• scientific article; zbMATH DE number 3053501 (Why is no real title available?)
• Discriminating between nonstationary and nearly nonstationary time series models: A simulation study
• Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Sampled autocovariance and autocorrelation results for linear time processes
• Serial Dependence Properties of Linear Processes
• Small-sample Autocorrelation Structure for Long-memory Time Series
• The behaviour of the sample autocorrelation function for an integrated moving average process
• The serial correlation structure for a random process with steps

Cited in

(5)

• Analysing time series for forecasting (a personal view)
• Improvement of autoregressive prediction methods based on increasing time series data of heteroscedasticity
• Empirical analysis of daily cash flow time-series and its implications for forecasting
• Advances in time series forecasting
• Modelling multiple time series: Achieving the aims

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