Identification of seasonal arima models using a filtering method

DOI10.1080/03610928908830035zbMath0696.62353OpenAlexW1975892462MaRDI QIDQ3474145

Lon-Mu 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

filteringinterventionsARIMA modelsmodel identificationseasonal time seriestransfer function modelscalendar variationsintermediary model

Mathematics Subject Classification ID

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

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Cites Work

• Modeling Time Series With Calendar Variation
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Use of canonical analysis in time series model identification
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