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| Author: | Hoeglund, R. Oestermark, R. |
| Title: | Automatic ARIMA modelling by the Cartesian Search Algorithm |
| Journal: | Journal of Forecasting
1991 : SEP, VOL. 10:5, p. 465-476 |
| Index terms: | TIME SERIES STATISTICAL METHODS MODELS ALGORITHMS SIMULATION |
| Language: | eng |
| Abstract: | The development and test results of a new time series analysis model, the ARIMA Search Algorithm are presented. It has been designed for the automatic generation of univariate models for time series data within specified parameter intervals of the identification and estimation stages. Model retention is determined within a preselected set of statistics. By interpreting these statistics as dimensions of the constructed criterion space, a subset of non-dominated models is obtained. The CARIMA algorithm allows free specification of number of criteria used in the runs. The algorithm was tested with both simulated and real economic data. |
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