FORECASTING TIME SERIES:A COMPARATIVE ANALYSIS OF ALTERNATIVE CLASSES OF TIME SERIES MODELS

Phillip A. Cartwright

Journal of Time Series Analysis, 1985, vol. 6, issue 4, 203-211

Abstract: Abstract. Performance of the state dependent model developed by Priestley is evaluated relative to that of bilinear and standard linear models using two well‐known time series. The results indicate the use of broader classes of time series models beyond the conventional ARMA class is likely to lead to significant reductions in forecasting error. However, there are difficult problems relating to the identification of the order of the model, estimation of the parameters, and determination of the correct nonlinear model.

Date: 1985
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