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Some recent advances in time series modeling
Abstract
The aim of this paper is to describe some of the important concepts and techniques which seem to help provide a solution of the stationary time series problem (prediction and model identification). Section I reviews models. Section II reviews prediction theory and develops criteria of closeness of a "fitted" model to a "true" model. The central role of the infinite autoregressive transfer functiong_{\infty}is developed, and the time series modeling problem is defined to be the estimation ofg_{\infty}. Section III reviews estimation theory. Section IV describes autoregressive estimators ofg_{\infty}. It introduces a criterion for selecting the Order of an autoregressive estimator which can be regarded as determining the order of an AR scheme when in fact the time series is generated by an AR scheme of finite order.
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Cited by
Kass, R. E., & Raftery, A. E. (1995) · Journal of the American Statistical Association · doi:10.1080/01621459.1995.10476572 · Cited by 12,558
Spectrum analysis—A modern perspective
Kay, S. M., & Marple, S. L. (1981) · Proceedings of the IEEE · doi:10.1109/proc.1981.12184 · Cited by 3,146
The Comparative Effects of Large Carnivores on the Acquisition of Carrion by Scavengers
Allen, M. L., Elbroch, L. M., Wilmers, C. C., & Wittmer, H. U. (2015) · The American Naturalist · doi:10.1086/681004 · Cited by 174
Model adequacy and the macroevolution of angiosperm functional traits
Pennell, M. W., FitzJohn, R. G., Cornwell, W. K., & Harmon, L. J. (2015) · The American Naturalist · doi:10.1086/682022 · Cited by 165
Metadata
- Authors
- Parzen, E.
- Venue
- IEEE Transactions on Automatic Control
- Published
- 1974-12
- Volume
- 19
- Issue
- 6
- Pages
- 723-730
- ISSN
- 0018-9286 (ISSN-L)
- OpenAlex
- W2117418380
- Cited by
- 341
- References
- 0
- FWCI
- 27.60
- Type
- journal article
- Language
- en
- Open access
- closed
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- Parzen, E. (1974). Some recent advances in time series modeling. IEEE Transactions on Automatic Control. https://doi.org/10.1109/tac.1974.1100733
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
