Unformatted text preview: characteristic equation are real and distinct. 5. Identifying a speciﬁed ARIMA(p,d,q) model, To write Z t in terms of W t , Con-stant term in ARIMA model, Eﬀect of a nonzero mean for W t on Z t . 6. Overall strategy - Box Jenkins Approach, pacf φ kk , over diﬀerencing. 7. Method of moments, (conditional) least square estimation method, maximum likelihood estimation method (for AR(1) only). 8. Portmanteau test, Parameter redundancy. 9. MMSE error prediction, MMSE forecast, forecast error, prediction interval, up-dating. 10. Multiplicative seasonal ARIMA( p,d,q ) × ( P,D,Q ) s model....
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- Spring '08
- Regression Analysis, Maximum likelihood, Estimation theory, zt, 55%, AR characteristic polynomial/equation