Repeated Time Series Analysis of ARIMA-Noise Models.

This article develops a theory and methodology for repeated time series (RTS) measurements on autoregressive integrated moving average-noise (ARIMAN) process. The theory enables us to relax the normality assumption in the ARIMAN model and to identify models for each component series of the process. We discuss the properties, estimation, and forecasting of RTS ARIMAN models and illustrate with examples.

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Year of publication:	1990
Authors:	Wong, Wing-keung ; Miller, Robert B
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 8.1990, 2, p. 243-50
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005238263