Accession Number : AD0670174

Title :   DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN INTEGRATED AUTOREGRESSIVE-MOVING AVERAGE TIME SERIES MODELS.

Descriptive Note : Technical rept.,

Corporate Author : WISCONSIN UNIV MADISON DEPT OF STATISTICS

Personal Author(s) : Box,G. E. P. ; Pierce,David A.

Report Date : APR 1968

Pagination or Media Count : 45

Abstract : It is shown that to a close approximation the residuals from any moving average or mixed autoregressive - moving average process will be the same as those from a suitably chosen autoregressive process. The adequacy of this approximation is confirmed by empirical calculation. It follows from this that one need not consider separately these two classes of processes.

Descriptors :   (*TIME SERIES ANALYSIS, STATISTICAL PROCESSES), LEAST SQUARES METHOD, APPROXIMATION(MATHEMATICS), STOCHASTIC PROCESSES, ANALYSIS OF VARIANCE, SAMPLING, STATISTICAL DISTRIBUTIONS, MATHEMATICAL MODELS, TABLES(DATA)

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE