Non-Gaussian series and series with non-zero means: Practical implications for time series analysis

Eward J. Lusk and Haviland Wright

Statistics & Probability Letters, 1982, vol. 1, issue 1, 2-6

Abstract: This paper presents a discussion of the relationship between the distribution of the input and the distribution of the output of linear filters. The purpose of the discussion is to focus attention on several fundamental aspects of developing ARIMA models which seem to be overlooked routinely in practice. The authors discuss the implications of non-normally distributed time series realizations and examine the effect of failure to estimate the constant parameter in developing ARIMA models.

Keywords: Linear; filters; ARIMA; models; distribution; of; outputs; of; linear; filters; practical; implications; of; linear; filtering; for; developing; ARIMA; models (search for similar items in EconPapers)
Date: 1982
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