Automatic SARIMA modeling and forecast accuracy

DOI10.1080/03610918.2019.1618471zbMath1497.62227OpenAlexW2949055821MaRDI QIDQ5082756

Josef Arlt, Peter Trcka

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1618471

zbMATH Keywords

simulationmodel buildingforecastingSARIMAautomatic procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• R
• forecast
• Forecast
• itsmr
• AS 154
• TRAMO

Cites Work

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• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Testing for Unit Roots in Seasonal Time Series
• A new look at the statistical model identification
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