Time Domain Analysis
In the frequency domain discussed in the previous chapter, a spectral approximation is used for an arbitrary second-order stationary time series..., y -1 , y 0, y 1,... In the traditional approach, the variance components in the spectral approximation will be nonzero, thus there is little chance of developing a parsimonious model. (The model with measurement error is more promising in this regard.)
KeywordsCovariance Function ARIMA Model Time Domain Analysis Prediction Variance Conditional Maximum Likelihood
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