Accession Number:

ADA061306

Title:

Communications in Statistics. Volume B7, Number 1. Simulation and Computation,

Descriptive Note:

Corporate Author:

SOUTHERN METHODIST UNIV DALLAS TX DEPT OF STATISTICAL SCIENCE

Personal Author(s):

Report Date:

1978-01-01

Pagination or Media Count:

123.0

Abstract:

In recent years the Box-Jenkins method has become a popular technique for forecasting future behavior of a time series. Once the forecast model is known the method is very easy to employ and adequate computer packages are available for most purposes. Unfortunately the problem of determining the appropriate forecast model has, for models of any complexity, been one of the major stumbling blocks to the user of this method. In this paper a satisfactory solution to that problem is obtained and it is demonstrated by numerous examples how this greatly enlarges the class of data sets which can be adequately modeled by autoregressive-moving average models. This new approach is sufficiently unequivocal that most users will find it easy to implement. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE