Topics in Time Series Analysis. III. ARIMA Time Series Models with Non-Normal Shocks

Abstract

In this paper the parent distribution of the shocks a sub t in ARIMA models is extended to the family of symmetric exponential power distributions, which covers the Normal as well as particular forms of symmetric leptokurtic and playkurtic distributions. The inference robustness of the parameters of ARIMA models and the effect of non Normality of the shocks on the forecasts is studied.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1976
Accession Number
ADA026312

Entities

People

  • George E. Box
  • Johannes Ledolter

Organizations

  • University of Wisconsin Madison Department of Statistics

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DTIC Thesaurus Topics

  • Air Force
  • Computing-Related Activities
  • Data Science
  • Information Science
  • Interdisciplinary Science
  • Mathematics
  • Normality
  • Plastic Explosives
  • Power Distribution
  • Scientific Research
  • Statistical Analysis
  • Statistics
  • Time Series Analysis
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Statistical inference.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference
  • AI & ML - Machine Learning Algorithms