Modelling Exponential Family Time Series Data
نویسندگان
چکیده
In this paper we have proposed a class of Generalized Autoregressive Moving Average (GARMA) models which extend univariate ARMA models to a non-Gaussian situation (i.e. they extend the univariate Generalized Linear Model to incorporate time dependence in the observations). The simplicity of the tting algorithm within the iteratively reweighted least squares (IRLS) framework will be shown. Model properties and model inference will also be illustrated by a practical example.
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تاریخ انتشار 1999