Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting

Oliver D. Anderson; Jan G. De Gooijer

RAIRO - Operations Research - Recherche Opérationnelle (1990)

  • Volume: 24, Issue: 1, page 67-91
  • ISSN: 0399-0559

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Anderson, Oliver D., and De Gooijer, Jan G.. "Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting." RAIRO - Operations Research - Recherche Opérationnelle 24.1 (1990): 67-91. <http://eudml.org/doc/104976>.

@article{Anderson1990,
author = {Anderson, Oliver D., De Gooijer, Jan G.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {prediction; misspecified models; identifying time series; distributional properties; serial dependence; near-nonstationary model; nonstationary approximation; discrimination; forecasting effectiveness; measures of serial covariance; serial correlation; non-explosive linear time processes; ARMA; ARIMA models},
language = {eng},
number = {1},
pages = {67-91},
publisher = {EDP-Sciences},
title = {Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting},
url = {http://eudml.org/doc/104976},
volume = {24},
year = {1990},
}

TY - JOUR
AU - Anderson, Oliver D.
AU - De Gooijer, Jan G.
TI - Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1990
PB - EDP-Sciences
VL - 24
IS - 1
SP - 67
EP - 91
LA - eng
KW - prediction; misspecified models; identifying time series; distributional properties; serial dependence; near-nonstationary model; nonstationary approximation; discrimination; forecasting effectiveness; measures of serial covariance; serial correlation; non-explosive linear time processes; ARMA; ARIMA models
UR - http://eudml.org/doc/104976
ER -

References

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  1. O. D. ANDERSON, Time Series Analysis and Forecasting: The Box-Jenkins Approach, Butterworths: London and Boston, 1975. Zbl0377.62053MR448760
  2. O. D. ANDERSON, Time series analysis and forecasting: a further look at the Box-Jenkins approach, Cahiers du CERO, vol. 19, 1977 a, pp. 233-256. Zbl0377.62053MR448760
  3. O. D. ANDERSON, Formulae for the expected values of the sampled variance and covariances from series generated by general autoregressive intergrated moving average processes of order (p, d, q), Sankhya B, Vol. 41, 1979 a, pp. 177-195. Zbl0485.62103MR637675
  4. 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 b, pp. 221-237. Zbl0425.62070MR558419
  5. O. D ANDERSO, Some sample autocovariance function results for a once integrated q-th order moving average process, Statistica, Vol. 39, 1979 c, pp. 287-299. Zbl0407.62071MR547281
  6. O. D ANDERSON, Indentification of linear time processes: an augmented Box-Jenkins approach, Working Paper, 1990. 
  7. O. D ANDERSON and J. G. DE GOOIJER, On discriminating between IMA (1, 1) and ARMA (1, 1) processes: some extensions to a paper by Wichern, The Statistician, Vol. 28, 1979, pp. 119-133. 
  8. O. D. ANDERSON and J. G. DE GOOIJER, Formulae for the covariance structure of the sampled autocovariances from series generated by general autoregressive moving average processes of order (p, d, q), d=0 or 1. Sankya B, Vol. 45, 1983, pp. 249-256. Zbl0533.62084MR748469
  9. O. D. ANDERSON and J. G. DE GOOIJER, Discriminating between IMA (1, 1) and ARMA (1, 1) models: a simulation study; Working Paper, 1987. 
  10. O. D. ANDERSON and J. G. DE GOOIJER, Sampled autocovariance and autocorrelation results for linear time processes, Communications in Statistics (Simulation and Computation), Vol. 17, 1988, pp. 489-513. Zbl0695.62212MR955337
  11. G. E. P. Box and G. M. JENKINS, Time Series Analysis, Forecasting and Control, Holden Day, San Francisco (Revised Edition), 1976. Zbl0363.62069MR436499
  12. H. E. DANIELS, The approximate distribution of serial correlation coefficients, Biometrika, Vol. 43, 1956, pp. 169-185. Zbl0074.14202MR79395
  13. J. P. IMHOF, Computing the distribution of quadratic forms in normal variables, Biometrika, Vol. 48, 1961, 419-426. Zbl0136.41103MR137199
  14. M. G. KENDALL, Note on bias in the estimation of autocorrelation, Biometrika, vol. 41, 1954, pp. 403-404. Zbl0056.13303MR65124
  15. D. W. WICHERN, The behaviour of the sample autocorrelation function for an intergrated moving average process, Biometrika, Vol. 60, 1973, pp. 235-239. Zbl0261.62070

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