한국경영과학회지 (Journal of the Korean Operations Research and Management Science Society)

  • 제16권1호
  • /
  • Pages.68-75
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  • 1991
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  • 1225-1119(pISSN)
  • /
  • 2733-4759(eISSN)
한국경영과학회 (The Korean Operations Research and Management Science Society)
권호 표지

계절적 시계열 모형화를 위한 VSACF 의 확장

Extension of the VSACF for Modelling Seasonal Time Series

  • 발행 : 1991.06.01
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초록

The purpose of this thesis is to develop the new technique for the analysis of seasonal time series by extending the vector sample auto-correlation function(VSACF), which was developed for ARMA modelling procedure. After the problems of VSACF for modelling seasonal time series are investigated, the adjacent variance is defined and used for decomposing the seasonal factor from the seasonal time series. The seasonal indices are calculated and the VSACF is applied to the transformed series. The automatic procedure for modelling seasonal time series is suggested and applied to the real data, the international airline passenger travel.

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참고문헌

  1. 한국 과학기술원 박사학위 논문 벡터 표본 상관 함수를 이용한 시계열 모형 선정 전태준
  2. IEEE Trans, on Automatic Control v.19 A New look at statistical model identification Akaike,H.
  3. Time Series Forecasting and Control Holden Day Box,G.E.P.;Jenkins,G.M.
  4. ASA Proceedings in Business and Economics Advances in model-based seasonal adjustment Cleveland,W.P.;Dempster,A.P.
  5. JASA v.77 no.377 An ARIMA-model-based approach to seasona adjustment Hillmer,S.C.;Tiao,G.C.
  6. Comm. in Stat. v.15 no.4 Automatic model indentification using vector sample autocorrelation function Jeon,T.J.;Park,S.J.
  7. Forecasting: Methods and Applications Markridakis,S.;Wheelwright,S.
  8. Time Series Analysis : Theory and Practice I Data dependent system spproach to trend and seasonality Pandit,S.M.;Anderson,O.D.(ed.)
  9. Time Series and Systems Analysis Pandit,S.M.;Wu,S.M.
  10. JASA v.79 Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models Tsay,R.S.;Tiao,G.C.
  11. Comm. in Statistics, All On the Pade table and its relationship to the R and S arrays and ARMA modelling Tucker,W.T.
  12. Management Science v.6 Forecasting sales by exponentially weighted moving average Winters,P.R.