Accession Number:

ADA026312

Title:

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

Descriptive Note:

Interim rept.

Corporate Author:

WISCONSIN UNIV-MADISON DEPT OF STATISTICS

Personal Author(s):

Report Date:

1976-01-01

Pagination or Media Count:

43.0

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.

Subject Categories:

  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE