Identification of seasonal arima models using a filtering method

DOI10.1080/03610928908830035zbMATH Open0696.62353OpenAlexW1975892462MaRDI QIDQ3474145FDOQ3474145

Authors: L.-M. Liu 

Publication date: 1989

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928908830035

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zbMATH Keywords

ARIMA modelsfilteringmodel identificationinterventionsseasonal time seriestransfer function modelscalendar variationsintermediary model

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Use of canonical analysis in time series model identification
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Modeling Time Series With Calendar Variation

Cited In (8)

• Framework for choice of models and detection of seasonal effect in time series
• Asymptotic laws of successive least squares estimates for seasonal arima models and application
• Title not available (Why is that?)
• A note on Kalman filtering for the seasonal moving average model
• Title not available (Why is that?)
• An unbiased autoregressive conditional intraday seasonal variance filtering process
• Data mining on time series: an illustration using fast-food restaurant franchise data.
• Automatic SARIMA modeling and forecast accuracy

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