Adaptivity and Stability of Time Series Models

Ledolter J (1977). Adaptivity and Stability of Time Series Models. IIASA Research Memorandum. IIASA, Laxenburg, Austria: RM-77-035

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Abstract

The effect of interventions on economic variables in the presence of a time dependent noise structure is modelled in this paper. Forecasts from such models are derived and it is discussed whether forecasts from ARIMA time series models are adaptive with respect to interventions such as changes in the level of outliers.

An overall criterion to test the stability of the parameters in ARIMA models is derived and applied to three Austrian macroeconomic sequences.

Item Type: Monograph (IIASA Research Memorandum)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:44
Last Modified: 05 Aug 2016 17:20
URI: http://pure.iiasa.ac.at/780

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