Topics in Time Series Analysis. IV. Various Aspects of Parameter Changes in ARIMA Models.

Abstract

In this paper we derive criteria for the detection of parameter changes in ARIMA models. An alternative approach is investigated in which we attempt to continually estimate or update the parameters as each new observation becomes available. Furthermore, we discuss how a step change in the parameters can affect the autocorrelation function. (Autor)

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1976
Accession Number
ADA026310

Entities

People

  • George C. Tiao
  • George E. P. Box
  • Johannes Ledolter

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Autocorrelation
  • Data Science
  • Detection
  • Information Science
  • Observation
  • Time Series Analysis

Fields of Study

  • Mathematics

Readers

  • Computational Modeling and Simulation
  • Electromagnetic Wave Scattering and Antenna Radiation Engineering