Analysing time series for forecasting (a personal view)

Oliver D. Anderson

RAIRO - Operations Research - Recherche Opérationnelle (1989)

  • Volume: 23, Issue: 2, page 113-150
  • ISSN: 0399-0559

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Anderson, Oliver D.. "Analysing time series for forecasting (a personal view)." RAIRO - Operations Research - Recherche Opérationnelle 23.2 (1989): 113-150. <http://eudml.org/doc/104958>.

@article{Anderson1989,
author = {Anderson, Oliver D.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {autocorelation; ARIMA models; general unit-circle nonstationarity; simplifying operators; Wichern behaviour; prediction; time-domain modelling; Box-Jenkins methodology; forecasting time series; serial correlation structure; model identification; stationary; nonstationary; expected forecast error; long-memory processes},
language = {eng},
number = {2},
pages = {113-150},
publisher = {EDP-Sciences},
title = {Analysing time series for forecasting (a personal view)},
url = {http://eudml.org/doc/104958},
volume = {23},
year = {1989},
}

TY - JOUR
AU - Anderson, Oliver D.
TI - Analysing time series for forecasting (a personal view)
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1989
PB - EDP-Sciences
VL - 23
IS - 2
SP - 113
EP - 150
LA - eng
KW - autocorelation; ARIMA models; general unit-circle nonstationarity; simplifying operators; Wichern behaviour; prediction; time-domain modelling; Box-Jenkins methodology; forecasting time series; serial correlation structure; model identification; stationary; nonstationary; expected forecast error; long-memory processes
UR - http://eudml.org/doc/104958
ER -

References

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  1. O. D. ANDERSON, Time Series Analysis and Forecasting: The Box-Jenkins Approach, Butterworths, London, 1975. Zbl0377.62053MR448760
  2. O. D. ANDERSON, Box-Jenkins in Government: A Development in Official Forecasting, Statistical News, Vol. 32, 1976 a, pp. 14-20. 
  3. O. D. ANDERSON, Some Methods in Time Series Analysis, Mathematical Scientist, Vol. 1, 1976 b, pp. 27-41. Zbl0339.62064
  4. O. D. ANDERSON, Time Series Analysis and Forecasting: A Further Look at the Box-Jenkins Approach, Cahiers du CERO, Vol. 19, 1977, pp. 223-256. Zbl0377.62053MR448760
  5. O. D. ANDERSON, Editor Forecasting, North-Holland, Amsterdam & New York. 1979 a. Zbl0404.62066
  6. O. D. ANDERSON, Some Sample Autovariance Results for a Once Integrated qth-order Moving Average Process, Statistica, Vol. 39, 1979 b, pp. 287-299. Zbl0407.62071MR547281
  7. O. D. ANDERSON, Formulae for the Expected Values of the Sampled Variance and Covariances from Series Generated by General Autoregressive Integrated Moving Average Processes of Order (p, d, q), Sankhya B, Vol. 41, 1979 c pp. 177-195. Zbl0485.62103MR637675
  8. O. D. ANDERSON, The Autocovariance Structures Associated with General Unit Circle Nonstationary Factors in the Autoregressive Operators of otherwise Stationary ARMA Time Series Models, Cahiers du CERO, Vol. 21, 1979 d, pp. 221-237. Zbl0425.62070MR558419
  9. O. D. ANDERSON, On Warming-up Time Series Simulations Generated by Box-Jenkins Models, J. Opl Res. Soc, Vol. 30, 1979 e, pp. 587-589. Zbl0397.62059
  10. O. D. ANDERSON, Serial Dependence Properties of Linear Processes, J. Opl Res. Soc., Vol. 31, 1980, pp. 905-917. Correction, Vol. 35, 1984 p. 171. Zbl0446.62090MR586830
  11. O. D. ANDERSON, On Forecasting Certain Misspecified Models, J. Information & Optimization Sciences, Vol. 2, 1981 a, pp. 236-240. Zbl0475.62075
  12. O. D. ANDERSON, Covariance Structure of Sampled Correlations from ARUMA Models, In Time Series Analysis, O. D. ANDERSON and M. R. PERRYMAN Eds., North-Holland, Amsterdam & New York, 1981 b, pp. 3-26. Zbl0485.62104
  13. O. D. ANDERSON, The Serial Correlation Structure for a Random Process with Steps, Metrika, Vol. 36, 1988 pp. 349-376. Zbl0654.62075MR980850
  14. O. D. ANDERSON, Time Series Analysis and Forecasting: A Fresh Look at Time Domain Modelling, 1989 a, in preparation. Zbl0377.62053
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  17. O. D. ANDERSON and J. G. DE GOOIJER, Distinguishing Between IMA (1,1) and ARMA (1,1) Models: A Large Scale Simulation Study ofTwo Particular Box-Jenkins Time Processes, in Time Series,O. D. ANDERSON Ed., North-Holland, Amsterdam & New York, 1980 a, pp. 15-40. Zbl0447.62091
  18. O. D. ANDERSON and J. G. DE GOOIJER, Distinguishing certain Stationary Time Series Models from their Nonstationary Approximations and Improved Box-Jenkins Forecasting, in Analysing Time Series, O. D. ANDERSON Ed., North-Holland, Amsterdam & New York, 1980 b, pp. 21-42. Zbl0463.62078MR576386
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  34. W. VANDAELE, Applied Time Series and Box-Jenkins Models. Academic Press, New York, 1983. Zbl0554.62073
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  36. R. A. WOOD. T. M. MCINISH and J. K. ORD, An Investigation of Nonstationarity in the Market Index Using Minute-by-Minute Returns, Working Paper No 83-3, Division of Management Science, The Pennsylvania State University, 1983. 

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