DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN INTEGRATED AUTOREGRESSIVE-MOVING AVERAGE TIME SERIES MODELS.

Abstract

It is shown that to a close approximation the residuals from any moving average or mixed autoregressive - moving average process will be the same as those from a suitably chosen autoregressive process. The adequacy of this approximation is confirmed by empirical calculation. It follows from this that one need not consider separately these two classes of processes.

Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1968
Accession Number
AD0670174

Entities

People

  • David A. Pierce
  • George E. P. Box

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Autocorrelation
  • Cooperation
  • Data Science
  • Information Science
  • Residuals
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Computational Modeling and Simulation
  • Statistical inference.