Development of a first order integrated moving average model corrupted with a Markov modulated convex combination of autoregressive moving average errors
With a view to providing a tool to accurately model time series processes which may be corrupted with errors such as measurement, round-off and data aggregation, this study developed an integrated moving average (IMA) model with a transition matrix for the errors resulting in a convex combination of...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2019-01-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2019.1598833 |