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季节性时间序列与传递函数建模
A simple modification is suggested for the construction of transfer function models relating an output variable Yt to an input variable Xt when the model for Xt contains operators that cancel out. In addition, the evaluation of transfer function models is discussed by comparing the forecasts with the actual observations.
干预分析与多元时间序列
A general model is introduced to encapsulate interventions in a multiple time series. The estimation of this model is discussed, and a bivariate economic example is presented to illustrate the methods.
时间序列中若干异常值问题的贝叶斯分析
Two models, the aberrant innovation model and the aberrant observation model, are considered to characterize outliers in time series. The approach adopted here allows for a small probability α that any given observation is ‘bad’ and in this set-up the inference about the parameters of an autoregressive model is considered.