Accession Number:

ADA091515

Title:

Modeling Seasonal ARMA Processes.

Descriptive Note:

Technical rept.,

Corporate Author:

SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS

Personal Author(s):

Report Date:

1980-10-01

Pagination or Media Count:

31.0

Abstract:

Gray, Kelley, and McIntire 1978 have introduced a method, based on arrays of numbers called R- and S-arrays, for identifying p and q in an ARMA p,q process. In addition, they have illustrated how the same method is useful in detecting nonstationary factors in an observed process, and in suggesting an appropriate transformation to stationarity. In the present paper special attention is given to the problem of modeling seasonal ARMA processes using the S-array method. A general definition is given for a seasonal process, and the procedure for identifying and modeling such processes is discussed in detail. Additionally, an interesting theorem characterizing the S-arrays based upon the sample autocorrelation of seasonal processes is stated and a proof indicated. Finally, a data set the international airline data which exhibits the properties of a seasonal process is analyzed using the method discussed, and two models for the data are proposed. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE