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| Titel: |
On the pade table and its relationship to the r and sarrays and arm a modeling |
| Auteur: |
Tucker, W.T. |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 11 (1982) nr. 12 pagina's 1335-1379 |
| Jaar: |
1982 |
| Inhoud: |
The Box-Jenkins method is a popular and important technique for modeling and forecasting of time series. Unfortunately the problem of determining the appropriate ARMA forecasting model (or indeed if an ARMA model holds) is a major drawback to the use of the Box-Jenkins methodology. Gray et al. (1978) and Woodward and Gray (1979) have proposed methods of estimating p and qin ARMA modeling based on the R and Sarrays that circumvent some of these modeling difficulties. In this paper we generalize the R and S arrays by showing a relationship to Pade approximunts and then show that these arrays have a much wider application than in just determining model order. Particular non-ARMA models can be identified as well. This includes certain processes that consist of deterministic functions plus ARMA noise, indeed we believe that the combined R and S arrays are the best overall tool so fur developed for the identification of general 2nd order (not just stationary) time scries models. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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