Identification of seasonal arima models using a filtering method

DOI10.1080/03610928908830035MaRDI QIDQ3474145zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Modeling Time Series With Calendar Variation
• Use of canonical analysis in time series model identification

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
• scientific article; zbMATH DE number 1240746 (Why is no real title available?)
• A note on Kalman filtering for the seasonal moving average model
• scientific article; zbMATH DE number 5824428 (Why is no real title available?)
• 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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