TRANS

Peter J. Brockwell, Richard A. Davis and R. J. Hyndman
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Peter J. Brockwell: Colorado State University, Department of Statistics
Richard A. Davis: Colorado State University, Department of Statistics

Chapter 5 in ITSM: An Interactive Time Series Modelling Package for the PC, 1991, pp 68-82 from Springer

Abstract: Abstract To run the program TRANS, type TRANS↩. After entering the appropriate graphics code number you will see the following menu: MAIN MENU 1. Compute the sample cross correlations of 2 series. 2. Fit a preliminary MA(m) transfer function model, $${X_2}(t) = t(0){X_1}(t)+ \ldots + t(m){X_1}(t - m)+ N(t)$$ , to data from the zero-mean stationary series, X1, X2. For this option you will need files containing R1, the residuals obtained from PEST by fitting an ARMA model to the observations of Xl, and R2, the residuals obtained from PEST when the same ARMA filter is applied to X2. 3. Calculate the residuals from a specified rational transfer function relation between the mean corrected (possibly differenced) versions of two specified input and output series. 4. Fit a transfer function model to a sequence of observations of inputs and outputs and use it to predict future outputs. 5. Exit from the program.

Keywords: Transfer Function; Cross Correlation; ARMA Model; Output Series; Residual Series (search for similar items in EconPapers)
Date: 1991
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DOI: 10.1007/978-1-4612-3116-5_5

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