Repeated Time Series Analysis of ARIMA-Noise Models

Wing-Keung Wong and Robert B Miller

Journal of Business & Economic Statistics, 1990, vol. 8, issue 2, 243-50

Abstract: This article develops a theory and methodology for repeated time series (RTS) measurements on autoregressive integrated moving average-noise (ARIMAN) process. The theory enables us to relax the normality assumption in the ARIMAN model and to identify models for each component series of the process. We discuss the properties, estimation, and forecasting of RTS ARIMAN models and illustrate with examples.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:8:y:1990:i:2:p:243-50

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