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Biometrika 1975 62(2):483-496; doi:10.1093/biomet/62.2.483
© 1975 by Biometrika Trust
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A direct basic form for predictors of autoregressive integrated moving average processes

E. J. GODOLPHIN

Department of Statistics and Computer Science, Royal Holloway College Egham, Surrey

A direct method of formulating predictors of autoregressive integrated moving average processes is given which has certain advantages over the three basic forms proposed by Box & Jenkins (1970). Some ways of making use of this representation are discussed.

Key Words: Autoregressive integrated moving average process • Basic form • Nonseasonal predictor • Nonstationary time series • Seasonal predictor


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