More effective time-series analysis and forecasting

DOI10.1016/0377-0427(95)00011-9zbMATH Open0847.62073OpenAlexW2027582252WikidataQ126297114 ScholiaQ126297114MaRDI QIDQ1917907FDOQ1917907

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

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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)

Cites Work

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• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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• Sampled autocovariance and autocorrelation results for linear time processes
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• The serial correlation structure for a random process with steps
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• The behaviour of the sample autocorrelation function for an integrated moving average process
• Discriminating between nonstationary and nearly nonstationary time series models: A simulation study
• 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

Cited In (3)

• Analysing time series for forecasting (a personal view)
• Improvement of autoregressive prediction methods based on increasing time series data of heteroscedasticity
• Advances in time series forecasting

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