Analysing Stable Time Series

Abstract

We describe how to take a stable, ARMA, time series through the various stages of model identification, parameter estimation, and diagnostic checking, and accompany the discussion with a goodly number of large scale simulations that show which methods do and do not work, and where some of the pitfalls and problems associated with stable time series modeling lie.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1997
Accession Number
ADA336964

Entities

People

  • Colin Gallagher
  • Raisa E. Feldman
  • Robert J. Adler

Organizations

  • University of North Carolina at Chapel Hill

Tags

DTIC Thesaurus Topics

  • Coefficients
  • Confidence Limits
  • Data Analysis
  • Data Mining
  • Data Science
  • Estimators
  • Gaussian Distributions
  • Information Processing
  • Information Science
  • New York
  • Probability
  • Random Variables
  • Simulations
  • Statistical Algorithms
  • Statistics
  • Theorems
  • White Noise

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Theoretical Analysis.