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On Some Ambiguities Associated with the Fitting of ARMA Models to Time Series
On Some Ambiguities Associated with the Fitting of ARMA Models to Time Series
Introduction
The ambiguities we discuss are of various kinds: In section 2, we illustrate some consequences for signal extraction of inappropriately using 'parsimony' to remove the ambiguity inherent in the selection of an ARMA model for an unobserved component of a stationary ARMA (p,p) process when only the spectrum of the observed process is known. In the remaining sections, we mainly look at consequences for various applications of only knowing a finite segment.
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Seasonal Analysis of Economic Time Series
Given a basic stochastic seasonal time series model, developed by Box and Jenkins, the corresponding model for temporal aggregates is derived.
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Applied Time Series Analysis of Economic Data
Work leading to currently used methods of seasonal adjustment began with the link-relative method of Persons (1919).
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Akaike's Information Criterion II
AIC is a statistic defined for parametric models whose parameters have been obtained by maximizing a form of likelihood function.
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Page Last Revised - October 8, 2021
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