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Additional info for Applied Time Series Analysis.Modelling,Forecasting,Unobserved Components Analysis & the Wiener-Kolmogorov Filter.(172p)

Example text

When an estimation procedure has been selected, maximisation can be computed using convergence algorithm like for example NewtonRaphson, Gauss-Newton, among others (see Brokwell and Davis, 1987). These algorithms maximize the objective function by trying parameters values whose choice is based the rst two derivatives of the objective function evaluated at the previous parameter value. Example 1: Series Poem2640 The identi cation stage pointed a (2,1,0) model as a possible model: (1 + 1B + 2B 2 )1yt = at .

Given that both are stationary processes with zero mean, these expectations are zero. This estimation procedure is known to perform poorly if the Ar polynomial has roots close to the nonstationarity region. The distortion e ects due to non vanishing transient may be avoided by considering instead the truncated function: X ^2 ( ) ( )= n S =p+1 ai ; (3:7) i with ap = ap01 = 1 1 1 = ap0q+1 = 0. 7) with the starting conditions set in that way yields the so-called constrained least squares estimators.

It is not dicult to check that for a Ma(q) process, then for l > q, Mse(^yT +l=T ) = Va Pqi=0 i2, where 0 = 1, while the sum truncates at l if l  q. The case of Ar or mix Arma models is less obvious. However, a simpli cation is reached by inverting the Ar polynomial so as to write the model in the Ma form: yt = 1 X i=0 i (3:18) B i at where the polynomial (B ) = 0 + 1B + 1 1 1 + nB n is obtained from (B ) = 01(B )(B ). An easy way to derive (B ) consists in equating the coecients of B i in (1 + 1B + 1 1 1 + p+dB p+d)(1 + 1B + 1 1 1) = 1 + 1B + 1 1 1 + q B q .

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Applied Time Series Analysis.Modelling,Forecasting,Unobserved Components Analysis & the Wiener-Kolmogorov Filter.(172p) by Planas A.


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