Publication:4137964

zbMath0363.62069MaRDI QIDQ4137964

G. E. P. Box, Gwilym Jenkins

Publication date: 1976

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Exact formulas for the Hodrick-Prescott filter, Minimum distance estimation of stationary and non‐stationary ARFIMA processes, Nonstationary Yule-Walker equations, Finding multiple abrupt change points, Model-free forecasting for nonlinear time series (with application to exchange rates), Stochastic linear trends. Models and estimators, Intervention analysis with nonlinear dependent noise variation, On covariance function tests used in system identification, Some contributions on the characterization of one-dimensional spatial processes, Multi-step estimation and forecasting in dynamic models, A vector autoregressive moving average time series approach for describing asymmetries of antennal control of two millipede species, The exact likelihood function for a space time model, Binary sequences. II: Homogeneity and symmetry, Inferences about the parameters of a time series model with changing variance, Uniqueness of estimated k-step prediction models of ARMA processes, The application of parametric multichannel spectral estimates in the study of electrical brain activity, The invertibility of sampled and aggregated ARMA models, A univariate model for long-term streamflow forecasting. I: Development, A univariate model for long-term streamflow forecasting. II: Application, Functional representation of power-law random fields and time series, Is volatility the best predictor of market crashes?, Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients, Improving forecasting performance by employing the Taguchi method, Whitening as a tool for estimating mutual information in spatiotemporal data sets, Fuzzy formulation of the Lee-Carter model for mortality forecasting, An application of vector GARCH model in semiconductor demand planning, Inferences on problems in modeling multi variate data sets in synodic time, University student enrollment forecasts by analyzing structural ratios using ARIMA-methods, A new sequential test for detection of a point of change in ARMA parameters, A test for the presence of pure feedback in multivariate dynamic stochastic systems, Extimation and structure determination of multivariate input systems, Time series - information and prediction, A note on GARCH model identification, On time series with randomized unit root and randomized seasonal unit root, Analyzing spatial ecological data using linear regression and wavelet analysis, Recursive estimation in econometrics, A corrected Akaike criterion based on Kullback's symmetric divergence: applications in time series, multiple and multivariate regression, Econometric methods of signal extraction, Asset price prediction using seasonal decomposition, Point processes and multivariate extreme values, Linear prediction of ARMA processes with infinite variance, A stochastic optimal control approach to a class of production and inventory problems, Estimation of the degree of differencing of an ARIMA process, Optimization with respect to covariance sequence parameters, ARMA spectral estimation based on partial autocorrelations. II: Statistical analysis, On confidence intervals and tests for autocorrelations, Autoregressive time series analysis via representatives, Time series analysis of chaotic signals, Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\), On the study of some functions of multivariate ARMA processes, Simple consistent estimation of the coefficients of a linear filter, Parameter estimation of continuous-time stationary Gaussian processes with rational spectra, An output error model and algorithm for electromagnetic system identification, Multivariate contemporaneous ARMA model with hydrological applications, Modeling long term lake variations by physically based stochastic dynamic models, Recent developments in time series forecasting, Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates, Differencing as an approximate de-trending device, Exact predictive densities for linear models with ARCH disturbances, On the detection of a signal in colored noise, Bandwidth selection for kernel estimate with correlated noise, Testing for causality in real time, Conceptually-based shot noise modeling of streamflows at short time interval, Diagnostic check for monotone spread., Do core inflation measures help forecast inflation?, Optimal sensor location in the presence of nonstationary noise, Factorizing multivariate time series operators, Modelling and prediction of stochastic processes involving periodicity, The linear model revisited, Counterexamples to parsimony and BIC, Differential geometrical structures related to forecasting error variance ratios, Identification of non-minimum phase transfer function using higher-order spectrum, State space modeling of non-standard actuarial time series, Model-building problem of periodically correlated \(m\)-variate moving average processes, Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study., Robust autoregressive estimates using quadratic programming, Bayesian inferences for several autoregressive processes, SEMIFAR forecasts, with applications to foreign exchange rates., Missing observations in ARIMA models: Skipping approach versus additive outlier approach, A modified model for projecting age-structured populations in random environments, Estimation of partially nonstationary vector autoregressive models with seasonal behavior, Density estimation for time series by histograms, Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples, Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme, Nonlinear forecasting of hepatitis and AIDS incidence, The information matrix of multiple-input single-output time series models, Bayes inference in regression models with ARMA\((p,q)\) errors, A simple recursive estimation method for linear regression models with \(\text{AR}(p)\) disturbances, Transforming the error-components model for estimation with general ARMA disturbances, A transfer function model to describe odor causing VOCs transport in a ventilated airspace with mixing/adsorption heterogeneity, A new preliminary estimator for MA(1) models, Rain-fall modeling: An application of Bayesian forecasting, Dependent error regression smoothing: A new method and PC program, Approximate moments to \(O(n^{-2})\) for the sampled partial autocorrelations from a white noise process, Fitting ARMA time series by structural equation models, Cut sharing for multistage stochastic linear programs with interstage dependency, HYDRO\(_ -\)GEN: A spatially distributed random field generator for correlated properties, A new measure of xenobiotic toxicity to the first-line human defence system from the time-resolved phagocyte luminescence, Simulation of a stationary autoregression: A characterization of the normal distribution, Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate, Optimal calculation of residuals for ARMAX models with application to model verification, Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme, A transfer function technique to describe odor causing VOCs transport in a ventilated airspace with mixing/adsorption heterogeneity., Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes, Modeling of time series arrays by multistep prediction or likelihood methods., Multiple forecasts with autoregressive time series models: Case studies., Self-organizing polynomial neural networks based on polynomial and fuzzy polynomial neurons: Analysis and design., A fuzzy seasonal ARIMA model for forecasting, Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism, SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity, Classification of multivariate time series and structured data using constructive induction, Higher-order sample autocorrelations and the unit root hypothesis, Testing for autoregressive disturbances in a time series regression with missing observations, Autoregressive-output-analysis methods revisited, On the distributions of augmented Dickey-Fuller statistics in processes with moving average components, Capability indices for material balance accounting, Generalized autoregressive conditional heteroscedasticity, The design of self-organizing polynomial neural networks, Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand., Stochastic load modelling for electric energy distribution applications, Dynamic approaches to pension funding, On the run length of a Shewhart chart for correlated data, The \(\epsilon\)-algorithm for the identification of a transfer-function model: Some applications, Bayesian long-run prediction in time series models, Dual adaptive control of chip refiner motor load, High resolution two-dimensional minimum free energy AR spectral estimation, Understanding the effect of time series outliers on sample autocorrelations, Interval forecasting in cointegrated systems, Exploratory spectral analysis of hydrological times series, Optimal and self-tuning white noise estimators with applications to deconvolution and filtering problems, A fast estimation method for ARMA processes, Generalized autoregression and the analysis of dynamical processes, Mixed order response function estimation from multi-input nonlinear systems, A minimum distance estimator for long-memory processes, A causality-in-variance test and its application to financial market prices, Estimating a generalized long memory process, A comparison of some of pattern identification methods for order determination of mixed ARMA models, The stochastic control of process capability indices. (With discussion), The influence of noise on the correlation dimension of chaotic attractors, Detection and estimation of structural changes and outliers in unobserved components, Order selection statistical test for nonstationary AR models, Least absolute deviation estimation of stationary time series models, Effect of outliers on forecasting temporally aggregated flow variables, Local prediction of nonlinear time series using support vector regression, Arbitrary elementary landscapes \& AR(1) processes, On linear processes with dependent innovations, A modified PNN algorithm with optimal PD modeling using the orthogonal least squares method, The characteristic landscape equation for an AR(2) landscape, Time dependent neural network models for detecting changes of state in complex processes: applications in earth sciences and astronomy., Fuzzy decision support system for demand forecasting with a learning mechanism, Measuring statistical dependences in a time series, Nonlinear set membership prediction of river flow, Accounting seasonal nonstationarity in time series models for short-term ozone level forecast, Drought forecasting using stochastic models, Integration of transfer function model and back propagation neural network for forecasting storm sewer flow in Taipei metropolis, The design of self-organizing neural networks based on PNS and FPNs with the aid of genetic optimization and extended GMDH method, Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval, Comparison of two modified portmanteau tests for model adequacy, A comparison of some estimators of time series autocorrelations, Bayesian estimation of an autoregressive model using Markov chain Monte Carlo, Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea, The application of prediction capability and adaptive target control to the newspaper business, On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters, Autotuning for model-based predictive control, Unnamed Item, Prediction intervals for farima processes by bootstrap methods, ARMA MODELS REALIZATION AND IMPULSE RESPONSES, Optimized regression models for time series, Economical process adjustment with sampling interval, An iterated cochrane-orcutt procedure for nonparametric regression, Identification of arma models with non-gaussian innovations, Bayesian inferences and forecasting in bilinear time series models, Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis, DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS, A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES, Recursive parameter estimation of transfer function models, THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS, ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES, ARMA MODELS WITH ARCH ERRORS, On identification of transfer function models by biased regression methods, Sobre la interpretacion de modelos ARIMA univariantes, Model validity tests for non-linear signal processing applications, Estimation of Periodic Bilinear Time Series Models, Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model, A Functional Wavelet–Kernel Approach for Time Series Prediction, Modelling and analysis of non-linear time series, Smoothing time-series data by nonmetric polytone curves, A two dimensional arma model for the simulation of IR backgrounds, PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS, An approximation to the distribution of the ratio of two general quadratic forms with application, Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes, Using instrumental variables for selecting the order of arma models, Linear Methods for Estimating Arma and Regression Models with Serial Correlation, DIFFERENTIAL GEOMETRY OF ARMA MODELS, BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS, STOCHASTICALLY EQUIVALENT DYNAMICAL SYSTEM APPROACH TO NONLINEAR DETERMINISTIC PREDICTION, Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series, Approximate Entropy as an Irregularity Measure for Financial Data, An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques, Predictive Density Order Selection of Periodic AR Models, THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED¹, Variable selection and error rate estimation in discriminant analysis, A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION, Economical Quality Control with Measurement Error, Identification of Periodic Moving-Average Models, Utilization of neural networks for the recognition of variance shifts in correlated manufacturing process parameters, Performance analysis of an integral controller, COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY, Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models, Analysis of fragmented time series data using box-jenkins models, Imparting structural instability to mortality forecasts: Testing for sensitive dependence on initial conditions with innovations, A competing risks approach to the two‐sex problem, Adaptive estimation in partially linear autoregressive models, Building a statistical model to predict reactor temperatures, Maximum likelihood estimation for a nearly random walk model, Unnamed Item, Analysis of Longitudinal Data Unbalanced Over Time, Bootstrap predictive inference for ARIMA processes, Bayesian Subset Model Selection for Time Series, Calculation of the Fisher Information Matrix for Periodic ARMA Models, Identification of non-linear systems by recursive kernel regression estimates, ESTIMATION OF THE PERIOD OF PERIODICALLY CORRELATED SEQUENCES, APPROXIMATE SIMULTANEOUS SIGNIFICANCE INTERVALS FOR RESIDUAL AUTOCORRELATIONS OF AUTOREGRESSIVE MOVING-AVERAGE TIME SERIES MODELS, Support vector machines for recognizing shifts in correlated and other manufacturing processes, Online control using integrated moving average model for manufacturing errors, Forecasting Measurement Data using the Stepwise Data Adjustment Regression Method, ESTIMATION OF MULTIVARIATE TIME SERIES, TEMPORAL AGGREGATION IN THE ARIMA PROCESS, Distribution of sample mean when observations are correlated, FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS, Some restrictions of the non-causal impulse response functions, EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES, ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA, GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES, On the Covariance Structure of Time Varying Bilinear Models, A Statistical Method for the Determination of the Appropriate Order in a General Class of Time Series Models, Nonparametric Multistep-Ahead Prediction in Time Series Analysis, Making REML computationally feasible for large data sets: use of the Gibbs sampler, Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models, A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles, Signal Extraction Problems in Seismology, Small Area Estimation-New Developments and Directions, Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise, Testing for ar(1) against ima(1,1) disturbances in the linear regression model, Parameter inference for time series with regular and seasonal unit roots, Average run lengths for cusum control charts applied to residuals, Brocess capability with asymmetric tolerances, A comparison of some autocovariance-based methods of arma model selection: a simulation study, Autoregressive and adaptive estimation with an application to hurricane track prediction, Model validation tests for multivariable nonlinear models including neural networks, Robust residual cross correlation tests for lagged relations in time series, Pre-Test type estimators for selection of simple normal models, Forecasting with incomplete data, On a method of identification of best subset model from full ar-model, Combining Global Antithetic Forecasts, Analysis of tidal data and datums: accessible examples of harmonic modeling with autocorrelation and imputation, Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters, Optimizing search-based identification of stochastic time-delay systems, Some matrix results related to a partitioned singular linear model, EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS, A Note on Jackknife Estimators and Empirical Results for the First and Second Order Autoregressive Process, Bootstrap estimates of the sample bivariate autocorrelation and partial autocorrelation distributions, On identification of block orientated systems by non-parametric techniques, Longevity and adjustment in pension annuities, with application to Finland, Time Series Classification Based on Spectral Analysis, On the Monitoring of Autocorrelated Linear Profiles, Statistical Properties of Model-Based Signal Extraction Diagnostic Tests, How can we Define the Concept of Long Memory? An Econometric Survey, Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models, Unit root tests using semi-parametric estimators of the long-memory parameter, On Parameter Estimation for Exponential Dispersion Arma Models, Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters, A Weak law of large numbers for a class of nonstationary but stabiuzing vector arma processes with one unit root, A NEW APPROACH OF BIVARIATE FUZZY TIME SERIES ANALYSIS TO THE FORECASTING OF A STOCK INDEX, Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use, A Macro-Economic Indicator of Age at Retirement, A simulation study of artificial neural networks for nonlinear time-series forecasting, Seismic waves and correlation autoregressive processes, Local linear regression for estimating time series data., Ridge estimation of transfer function weights, Checks of model adequacy for univariate time series models and their application to econometric relationships, State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications, Estimating process capability indexes for autocorrelated data, Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models, On-line control procedures for integrated moving average process of order one, Existence conditions for purely spatial processes, A note on interpolation of arima processes, MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION, MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE, FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES, Optimization methods in time series interpolation, Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models, Estimation of the parameters of a time series subject to the error of rotation sampling, The consistency of the L₁norm estimates in arma models, ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES, COINTEGRATION AND COMMON FACTORS, Nonlinear model validation using correlation tests, Prediction of software reliability using an auto regressive process, Nonstationary regression models with a lagged dependent variable, Simple diagnostic tools for inverstigating linear trends in time series, Nonstationary regression models with a lagged dependent variable, Simple diagnostic tools for inverstigating linear trends in time series, A recursive approach for estimating missing observations in an univariate time series, Taguchi's method and an empirical procedure for on-line process control, Shrinkage estimation of contemporaneous outliers in concurrent time serie, Bootstrapping empirical distribution functions of residuals from autoregressive model fitting, Fitting a fractional ARIMA model to time series data, Distribution of the cross‐correlations of squared residuals in ARIMA models, Nonlinear transfer functions, Shrinkage estimation in time series using a bootstrapped covariance estimate, Effect of aggregation on the estimation of trend in mortality, A method of estimating the time of marital fertility decline and associated parameters, Computing optimal adjustment schemes for the general tool-wear problem, Metaphors for time‐series analysis, Automatic selective intervention in dynamic linear models, Forecast of the expected non-epidemic morbidity of acute diseases using resampling methods, Multivariate polynomial regression for identification of chaotic time series, Estimating the total number of distinct species using quadrat sampling and under-dependence structure, Testing for cointegration at any frequency using spectral methods, Artistic and cultural heritage and statistics, Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application, Robustness of Inference for One-sample Problem with Correlated Observations, An Improvement of the Portmanteau Statistic, Nonparametric autocovariance estimation from censored time series by Gaussian imputation, Optimal experimental control in econometrics: the simultaneous equation problem, A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL, ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES, Unnamed Item, Estimation control in dynamic models with applications to environmental modelling, ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS, A self-tuning controller for systems with unknown or varying time delays†, Reduction of transfer functions using dispersion analysis and the continued-fraction method, Optimal estimation control strategies for dynamic economic models with applications to environmental modelling, System identification via generalized block pulse operational matrices, A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES, Correlation based model validity tests for non-linear models, A structured state space approach to computing the likelihood of an ARIMA process and its derivatives, SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS, EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS, SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES, WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*, Sequential method of change detection and adaptive prediction of municipal water demand, Bootstrapping a time series model: some empirical results, Prediction of stochastic processes using self-tuning principles, Model selection and validation methods for non-linear systems, Unnamed Item, Some exact results on the sample autocovariances of a seasonal ARIMA model, The effects of autocorrelation among errors on the consistency property of OLS estimator, Inférence statistique dans les processus stochastiques: Aperçu historique, ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS, A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS, ON A CLASS OF NONSTATIONARY PROCESSES, Non-iterative optimal min-max instrumental variable method for system identification, ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS, A LIMITING PROPERTY OF SAMPLE AUTOCOVARIANCES OF PERIODICALLY CORRELATED PROCESSES WITH APPLICATION TO PERIOD DETERMINATION, Asymptotic lower bounds for the risk of estimators of the value of a spectral density function, Efficient implementation of wilson's algorithm for factorizing a self-reciprocal polynomial, Parameter estimation for auto-regressive systems with missing observations, Time series in m-dimensions definition, problems and prospects, Time series in m dimensions: Autoregressive models, Moving average models—time series in m-dimensions, General considerations and interrelationships between ma and ar models, time series in m dimensions, the arma model, Models of social contagion, Autoregressive moving-average convolution processes on the unit circle, Informetric analysis of dynamic decision rules in applied economic models: a selective survey, Effect of systematic sampling on arima models, Forecast efficiency of systematically sampled time series, Suboptimal control of discrete stochastic amplitude constrained systems, Turning process model for steady-state optimal control, Una familia de distribuciones conjugadas para un proceso ARE (1), Autoregressive processes applied to acceptance sampling by varlables, Time series analysis for repeated surveys, Two recursive estimates of autoregressive models based on maximum likelihood, New arma models for Wolfer’s sunspot data, Bayesian analysis of bilinear time series models : a gibbs sampling approach, Identification of a Type I Outlier in an Autoregressive Model, Time-series decomposition and forecasting, Adjustment rules based on quality control charts†, Methods for the external validation of contiuous system simulation models:a review, Nonparametric forecasting: a comparison of three kernel-based methods, Nonlinear control charts for jump detection, A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process