I am trying to learn how to build SARIMA models too. Do you have any interest in working together to learen more about the modeling process? I believe that I understand the bivariate models and am looking to learn how to develop a multivariate model.
By the way, I want to thank Dave for the information he provided on the Freeware program. Thanks "David Reilly" <[EMAIL PROTECTED]> wrote in message news:[EMAIL PROTECTED] > [EMAIL PROTECTED] (Tugba Taskaya) wrote in message news:<[EMAIL PROTECTED]>... > > It says that a(t) should be independently distributed as normal random > > variables with mean=0. So can't I find an initial residual that makes > > the mean of the residuals 0? > > This means that after you compute the a(14),a(15),......a(t) > > you need to test the the ACF ( autocorrelation ) of these values has > no significant structure .... > > and that the mean of the a's is zero everyhere ( i.e. for all > contiguous subsets ) otherwise you need to introduce dummy variables > to deaal with this Gaussian violation ( Pulse,Step, Seasonal Pulse > and/or Local Time Trends ) > > and that the variance of the a's is constant over time > > and that the estimated parameter(s) (thetha 1 in your case) is > constant over time. > > > > > On the paper, they say that they aim to take first-order regular > > difference and the first seasonal difference in order to remove the > > growth trend and the seasonality characteristics. > > > So they say ! Observing non-stationarity is one thing ...developing > the correct remedy to make the series stationary is the difficult step > ... > > In the early days of Box-Jenkins development practictioners were > directed to > difference to deal with these symptoms. Modern-day approaches also > consider deterministic components such as Pulse,Step, Seasonal Pulse > and/or Local Time Trends as identified via INTERVENTION DETECTION . > > > I suggest that you search DOWNLOAD.COM or TUCOWS.COM for a FREEWARE > program called FreeFore which automatically tests for and remedies for > all the requirements underlying the model including all that I have > mentioned in this post. > > regards > > Dave R > Automatic Forecasting Systems > 215-675-0652 > > > P.S. If I can help privately please call or let me know when you can > call ... > > > > > > thanks. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
