Forecasting with prediction intervals for periodic autoregressive moving average models
نویسندگان
چکیده
منابع مشابه
Forecasting with prediction intervals for periodic autoregressive moving average models
Periodic autoregressive moving average (PARMA) models are indicated for time series whose mean, variance and covariance function vary with the season. In this study, we develop and implement forecasting procedures for PARMA models. Forecasts are developed using the innovations algorithm, along with an idea of Ansley. A formula for the asymptotic error variance is provided, so that Gaussian pred...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2012
ISSN: 0143-9782
DOI: 10.1111/jtsa.12000