Accession Number:

ADA026310

Title:

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

Descriptive Note:

Interim rept.,

Corporate Author:

WISCONSIN UNIV MADISON DEPT OF STATISTICS

Personal Author(s):

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

Report Date:

1976-01-01

Pagination or Media Count:

32.0

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

Descriptors:

• *TIME SERIES ANALYSIS
• MATHEMATICAL MODELS
• AUTOCORRELATION
• ESTIMATES
• FUNCTIONS(MATHEMATICS)
• CHANGE DETECTION

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE