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Updating the forecast function of ARIMA models and the link with DLMs

โœ Scribed by Neil A. Butler

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
123 KB
Volume
18
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

This paper shows that the whole forecast function of ARIMA time series models, and not just the eventual forecast function, may be updated each time an observation is received. The paper also shows that the coecients in the updating equations for the forecast function may be expressed in exactly the same form as the Kalman ยฎlter updating equations for canonical time series DLMs. Moreover, the adaptive factors in the updating equations are shown to be a simple function of the ARIMA model parameters.

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