Adaptivity and Stability of Time Series Models

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/798 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/798 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/798 archive 351 disk0/00/00/07/80 2016-01-15 01:44:26 2021-08-27 17:08:43 2016-01-15 01:44:26 monograph show 2 Ledolter J. AL0225 Adaptivity and Stability of Time Series Models pub iis_met iis_mod prog_sds 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. 1977-06 published RM-77-035 RM-77-035 10 2103 public research_memorandum IIASA, Laxenburg, Austria 19 FALSE info:eu-repo/semantics/book