node24 Forecasting Using the ARMA Model STAT 510 - Applied Time Series Analysis

Node24 Forecasting Using the ARMA Model STAT 510 - Applied Time Series Analysis

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
This is Google's cache of http://onlinecourses.science.psu.edu/stat510/node/24 . It is a snapshot of the page as it appeared on 29 Aug 2010 15:29:51 GMT. The current page could have changed in the meantime. Learn more Text-only version STAT 510 - Applied Time Series Analysis ANGEL Department of Statistics Eberly College of Science Home // Section 2: Time Domain Models Forecasting Using the ARMA Model Submitted by gfj100 on Sun, 03/28/2010 - 15:33 Let's talk about forecasting an ARMA . We assume that we've started with an ARMA model (which is of course causal and invertible) and that we've estimated the parameters and they are EXACTLY right (not realistic -- but let's go with it right now.) The model is: We will assume for the moment that we know the coefficients of the model, the φ's and the θ's. Now, because it is causal and invertible, then if we know the φ's and the θ's, we also know the π's and the ψ's: (the causal representation) (the invertible representation) Recall that the ψ's are: and the π's are: . Assume we know how to calculate these. In practice, what we will have is data that goes from x 1 , . .. x n and what we want to do is to predict in future observations x n+ 1 , x n+ 2 ... x n+m .
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Let's define the tilde over x to mean: This is the conditional expectation: given my data up to
Background image of page 2
Image of page 3
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 4

Node24 Forecasting Using the ARMA Model STAT 510 - Applied Time Series Analysis

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online