Topics in Time Series Analysis. IV. Various Aspects of Parameter Changes in ARIMA Models.
WISCONSIN UNIV MADISON DEPT OF STATISTICS
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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
- Statistics and Probability