메뉴 건너뛰기




Volumn , Issue , 2013, Pages 1-746

Time series analysis: Forecasting and control: Fourth edition

Author keywords

[No Author keywords available]

Indexed keywords

FORECASTING; HARMONIC ANALYSIS; MAXIMUM LIKELIHOOD ESTIMATION; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

EID: 85021230445     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118619193     Document Type: Book
Times cited : (545)

References (318)
  • 1
    • 0003147249 scopus 로고
    • Missing observations in time series,
    • Abraham, B., "Missing observations in time series," Comm. Statist., A10, 1643-1653, 1981.
    • (1981) Comm. Statist , vol.A10 , pp. 1643-1653
    • Abraham, B.1
  • 2
    • 0010329671 scopus 로고
    • Deterministic and forecast-adaptive time-dependent models
    • Abraham, B. and G. E. P. Box, "Deterministic and forecast-adaptive time-dependent models," Appl. Statist., 27, 120-130, 1978.
    • (1978) Appl. Statist , vol.27 , pp. 120-130
    • Abraham, B.1    Box, G.E.P.2
  • 3
    • 0011411426 scopus 로고
    • Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
    • Ahn, S. K., "Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends," Biometrika, 80, 855-868, 1993.
    • (1993) Biometrika , vol.80 , pp. 855-868
    • Ahn, S.K.1
  • 4
    • 0000304386 scopus 로고
    • Nested reduced-rank autoregressive models for multiple time series
    • Ahn, S. K. and G. C. Reinsel, "Nested reduced-rank autoregressive models for multiple time series," J. Am. Statist. Assoc., 83, 849-856, 1988.
    • (1988) J. Am. Statist. Assoc , vol.83 , pp. 849-856
    • Ahn, S.K.1    Reinsel, G.C.2
  • 5
    • 0000722585 scopus 로고
    • Estimation for partially nonstationary multivariate autoregressive models
    • Ahn, S. K. and G. C. Reinsel, "Estimation for partially nonstationary multivariate autoregressive models," J. Am. Statist. Assoc., 85, 813-823, 1990.
    • (1990) J. Am. Statist. Assoc , vol.85 , pp. 813-823
    • Ahn, S.K.1    Reinsel, G.C.2
  • 6
    • 0016355478 scopus 로고
    • A new look at the statistical model identification
    • Akaike, H., "A new look at the statistical model identification," IEEE Trans. Automatic Control , AC-19, 716-723, 1974.
    • (1974) IEEE Trans. Automatic Control , vol.19 , pp. 716-723
    • Akaike, H.1
  • 7
    • 51649182225 scopus 로고
    • Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
    • Akaike, H., "Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes," Ann. Inst. Statist. Math., 26, 363-387, 1974.
    • (1974) Ann. Inst. Statist. Math , vol.26 , pp. 363-387
    • Akaike, H.1
  • 8
    • 77956828132 scopus 로고
    • Canonical correlation analysis of time series and the use of an information criterion
    • ed. R. K. Mehra and D. G. Lainiotis, Academic, New York
    • Akaike, H., "Canonical correlation analysis of time series and the use of an information criterion," in Systems Identification: Advances and Case Studies, ed. R. K. Mehra and D. G. Lainiotis, Academic, New York, 1976, pp. 27-96.
    • (1976) Systems Identification: Advances and Case Studies , pp. 27-96
    • Akaike, H.1
  • 9
    • 31144438597 scopus 로고
    • Tests for autocorrelation and randomness in multiple time series
    • Ali, M. M., "Tests for autocorrelation and randomness in multiple time series," J. Am. Statist. Assoc., 84, 533-540, 1989.
    • (1989) J. Am. Statist. Assoc , vol.84 , pp. 533-540
    • Ali, M.M.1
  • 11
    • 0003034721 scopus 로고
    • Distribution of the serial correlation coefficient
    • Anderson, R. L., "Distribution of the serial correlation coefficient," Ann. Math. Statist., 13, 1-13, 1942.
    • (1942) Ann. Math. Statist , vol.13 , pp. 1-13
    • Anderson, R.L.1
  • 13
    • 0001497505 scopus 로고
    • Estimating linear restrictions on regression coefficients for multivariate normal distributions
    • Anderson, T. W., "Estimating linear restrictions on regression coefficients for multivariate normal distributions," Ann. Math. Statist., 22, 327-351, 1951.
    • (1951) Ann. Math. Statist , vol.22 , pp. 327-351
    • Anderson, T.W.1
  • 16
    • 84946632720 scopus 로고
    • The examination and analysis of residuals
    • Anscombe, F. J. and J. W. Tukey, "The examination and analysis of residuals," Technometrics, 5, 141-160, 1963.
    • (1963) Technometrics , vol.5 , pp. 141-160
    • Anscombe, F.J.1    Tukey, J.W.2
  • 17
    • 0018345540 scopus 로고
    • An algorithm for the exact likelihood of a mixed autoregressive moving average process
    • Ansley C. F., "An algorithm for the exact likelihood of a mixed autoregressive moving average process," Biometrika, 66, 59-65, 1979.
    • (1979) Biometrika , vol.66 , pp. 59-65
    • Ansley, C.F.1
  • 18
    • 0001051483 scopus 로고
    • A geometrical derivation of the fixed interval smoothing algorithm
    • Ansley, C. F. and R. Kohn, "A geometrical derivation of the fixed interval smoothing algorithm," Biometrika, 69, 486-487, 1982.
    • (1982) Biometrika , vol.69 , pp. 486-487
    • Ansley, C.F.1    Kohn, R.2
  • 19
    • 0001317712 scopus 로고
    • Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
    • Ansley, C. F. and R. Kohn, "Exact likelihood of vector autoregressive-moving average process with missing or aggregated data," Biometrika, 70, 275-278, 1983.
    • (1983) Biometrika , vol.70 , pp. 275-278
    • Ansley, C.F.1    Kohn, R.2
  • 20
    • 0001707631 scopus 로고
    • Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
    • Ansley, C. F. and R. Kohn, "Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions," Ann. Statist., 13, 1286-1316, 1985.
    • (1985) Ann. Statist , vol.13 , pp. 1286-1316
    • Ansley, C.F.1    Kohn, R.2
  • 21
    • 0000249732 scopus 로고
    • Finite sample properties of estimators for autoregressive moving average models
    • Ansley, C. F. and P. Newbold, "Finite sample properties of estimators for autoregressive moving average models," J. Econometrics, 13, 159-183, 1980.
    • (1980) J. Econometrics , vol.13 , pp. 159-183
    • Ansley, C.F.1    Newbold, P.2
  • 22
    • 0002182664 scopus 로고
    • Numerical identification of linear dynamic systems from normal operating records
    • P. H. Hammond, Plenum, New York
    • Astrom, K. J. and T. Bohlin, "Numerical identification of linear dynamic systems from normal operating records," in Theory of Self-Adaptive Control Systems, ed. P. H. Hammond, Plenum, New York, 1966, pp. 96-111.
    • (1966) Theory of Self-Adaptive Control Systems , pp. 96-111
    • Astrom, K.J.1    Bohlin, T.2
  • 24
    • 0003029969 scopus 로고
    • Theorie de la speculation
    • Paris, Ser. 3
    • Bachelier, L., "Theorie de la speculation," Ann. Sci. Ecole Norm. Sup., Paris, Ser. 3, 17, 21-86, 1900.
    • (1900) Ann. Sci. Ecole Norm. Sup , vol.17 , pp. 21-86
    • Bachelier, L.1
  • 25
    • 84932276205 scopus 로고
    • Ph.D. Thesis, University of Wisconsin-Madison
    • Bacon, D. W., Seasonal Time Series, Ph.D. Thesis, University of Wisconsin-Madison, 1965.
    • (1965) Seasonal Time Series
    • Bacon, D.W.1
  • 26
    • 84915352005 scopus 로고
    • Sequential procedures for detecting parameter changes in a time-series model
    • Bagshaw, M. and R. A. Johnson, "Sequential procedures for detecting parameter changes in a time-series model," J. Am. Statist. Assoc., 72, 593-597, 1977.
    • (1977) J. Am. Statist. Assoc , vol.72 , pp. 593-597
    • Bagshaw, M.1    Johnson, R.A.2
  • 27
    • 0007718349 scopus 로고
    • The asymptotic mean squared error of multistep prediction from the regression model with autoregressive errors
    • Baillie, R. T., "The asymptotic mean squared error of multistep prediction from the regression model with autoregressive errors," J. Am. Statist. Assoc., 74, 175-184, 1979.
    • (1979) J. Am. Statist. Assoc , vol.74 , pp. 175-184
    • Baillie, R.T.1
  • 28
    • 0001291085 scopus 로고
    • Control charts and stochastic processes,
    • Barnard, G. A., "Control charts and stochastic processes," J. Royal Statist. Soc., B21, 239-257, 1959.
    • (1959) J. Royal Statist. Soc , vol.B21 , pp. 239-257
    • Barnard, G.A.1
  • 29
    • 0001060286 scopus 로고
    • Statistical inference,
    • Barnard, G. A., "Statistical inference," J. Royal Statist. Soc., B11, 115-139, 1949.
    • (1949) J. Royal Statist. Soc , vol.B11 , pp. 115-139
    • Barnard, G.A.1
  • 30
    • 31344444985 scopus 로고
    • The logic of least squares,
    • Barnard, G. A., "The logic of least squares," J. Royal Statist. Soc., B25, 124-127, 1963.
    • (1963) J. Royal Statist. Soc , vol.B25 , pp. 124-127
    • Barnard, G.A.1
  • 32
    • 0002090746 scopus 로고
    • On the theoretical specification and sampling properties of autocorrelated time-series,
    • Bartlett, M. S., "On the theoretical specification and sampling properties of autocorrelated time-series," J. Royal Statist. Soc., B8, 27-41, 1946.
    • (1946) J. Royal Statist. Soc , vol.B8 , pp. 27-41
    • Bartlett, M.S.1
  • 33
  • 34
    • 0030554449 scopus 로고    scopus 로고
    • Relationship between missing data likelihoods and complete restricted data likelihoods for regression time series models: An application to total ozone data
    • Basu, S. and G. C. Reinsel, "Relationship between missing data likelihoods and complete restricted data likelihoods for regression time series models: An application to total ozone data," Appl. Statist., 45, 63-72, 1996.
    • (1996) Appl. Statist , vol.45 , pp. 63-72
    • Basu, S.1    Reinsel, G.C.2
  • 35
    • 0003246268 scopus 로고
    • Signal extraction for nonstationary time series
    • Correction 19, 2280, 1991
    • Bell, W., "Signal extraction for nonstationary time series," Ann. Statist., 12, 646-664, 1984; "Correction," 19, 2280, 1991.
    • (1984) Ann. Statist , vol.12 , pp. 646-664
    • Bell, W.1
  • 36
    • 84911608689 scopus 로고
    • A note on overdifferencing and the equivalence of seasonal time series models with monthly means and models with (0,1,1)12 seasonal parts when =1
    • Bell, W., "A note on overdifferencing and the equivalence of seasonal time series models with monthly means and models with (0,1,1)12 seasonal parts when =1," J. Business Econom. Statist., 5, 383-387, 1987.
    • (1987) J. Business Econom. Statist , vol.5 , pp. 383-387
    • Bell, W.1
  • 37
    • 0040792999 scopus 로고
    • Modeling time series with calendar variation
    • Bell, W. R. and S. C. Hillmer, "Modeling time series with calendar variation," J. Am. Statist. Assoc., 78, 526-534, 1983.
    • (1983) J. Am. Statist. Assoc , vol.78 , pp. 526-534
    • Bell, W.R.1    Hillmer, S.C.2
  • 40
    • 0000592702 scopus 로고
    • Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models,
    • Beran, J., "Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models," J. Royal Statist. Soc., B57, 659-672, 1995.
    • (1995) J. Royal Statist. Soc , vol.B57 , pp. 659-672
    • Beran, J.1
  • 41
    • 0023400187 scopus 로고
    • Constrained minimum variance controllers: Internal model structure and robustness properties
    • Bergh, L. G. and J. F. MacGregor, "Constrained minimum variance controllers: Internal model structure and robustness properties," Ind. Eng. Chem. Res., 26, 1558-1564, 1987.
    • (1987) Ind. Eng. Chem. Res , vol.26 , pp. 1558-1564
    • Bergh, L.G.1    MacGregor, J.F.2
  • 42
    • 84963043564 scopus 로고
    • On the theory of testing for unit roots in observed time series
    • Bhargava, A., "On the theory of testing for unit roots in observed time series," Rev. Econ. Stud., 53, 369-384, 1986.
    • (1986) Rev. Econ. Stud , vol.53 , pp. 369-384
    • Bhargava, A.1
  • 43
    • 84857763072 scopus 로고
    • Effectiveness of seat belt legislation on the Queensland road toll-an Australian case study in intervention analysis
    • Bhattacharyya, M. N. and A. P. Layton, "Effectiveness of seat belt legislation on the Queensland road toll-an Australian case study in intervention analysis," J. Am. Statist. Assoc., 74, 596-603, 1979.
    • (1979) J. Am. Statist. Assoc , vol.74 , pp. 596-603
    • Bhattacharyya, M.N.1    Layton, A.P.2
  • 45
    • 0001755446 scopus 로고
    • On the foundations of statistical inference
    • Birnbaum, A., "On the foundations of statistical inference," J. Am. Statist. Assoc., 57, 269-306, 1962.
    • (1962) J. Am. Statist. Assoc , vol.57 , pp. 269-306
    • Birnbaum, A.1
  • 46
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T., "Generalized autoregressive conditional heteroskedasticity," J. Econometrics, 31, 307-327, 1986.
    • (1986) J. Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 48
    • 84916821675 scopus 로고
    • Use and abuse of regression
    • Box, G. E. P., "Use and abuse of regression," Technometrics, 8, 625-629, 1966.
    • (1966) Technometrics , vol.8 , pp. 625-629
    • Box, P.G.E.1
  • 49
    • 0001135785 scopus 로고
    • Sampling and Bayes' inference in scientific modelling and robustness,
    • Box, G. E. P., "Sampling and Bayes' inference in scientific modelling and robustness," J. Royal Statist. Soc., A143, 383-430, 1980.
    • (1980) J. Royal Statist. Soc , vol.A143 , pp. 383-430
    • Box, P.G.E.1
  • 50
    • 84949162374 scopus 로고
    • Feedback control by manual adjustment,
    • Box, G. E. P., "Feedback control by manual adjustment," Quality Engrg., 4(1), 143-151, 1991.
    • (1991) Quality Engrg , vol.4 , Issue.1 , pp. 143-151
    • Box, P.G.E.1
  • 51
    • 84948279050 scopus 로고
    • Bounded adjustment charts,
    • Box, G. E. P., "Bounded adjustment charts," Quality Engrg., 4(a), 331-338, 1991.
    • (1991) Quality Engrg , vol.4 , pp. 331-338
    • Box, P.G.E.1
  • 52
    • 0000133998 scopus 로고
    • An analysis of transformations,
    • Box, G. E. P. and D. R. Cox, "An analysis of transformations," J. Royal Statist. Soc., B26, 211-243, 1964.
    • (1964) J. Royal Statist. Soc , vol.B26 , pp. 211-243
    • Box, G.E.P.1    Cox, D.R.2
  • 53
    • 0000863827 scopus 로고
    • The Bayesian estimation of common parameters from several responses
    • Box, G. E. P. and N. R. Draper, "The Bayesian estimation of common parameters from several responses," Biometrika, 52, 355-365, 1965.
    • (1965) Biometrika , vol.52 , pp. 355-365
    • Box, G.E.P.1    Draper, N.R.2
  • 54
    • 0011302720 scopus 로고
    • The experimental study of physical mechanisms
    • Box, G. E. P. and W. G. Hunter, "The experimental study of physical mechanisms," Technometrics, 7, 23-42, 1965.
    • (1965) Technometrics , vol.7 , pp. 23-42
    • Box, G.E.P.1    Hunter, W.G.2
  • 55
    • 85023785517 scopus 로고
    • and J. S. Hunter, Statistics for Experimenters, Wiley, New York
    • Box, G. E. P., W. G. Hunter, and J. S. Hunter, Statistics for Experimenters, Wiley, New York, 1978.
    • (1978) W. G. Hunter
    • Box, P.G.E.1
  • 56
    • 0000638802 scopus 로고
    • Further contributions to adaptive quality control: Simultaneous estimation of dynamics: Non-zero costs,
    • 34th Session Ottawa
    • Box, G. E. P. and G. M. Jenkins, "Further contributions to adaptive quality control: Simultaneous estimation of dynamics: Non-zero costs," Bull. Internat. Statist. Inst., 34th Session, Ottawa, Canada, 1963, pp. 943-974.
    • (1963) Bull. Internat. Statist. Inst , pp. 943-974
    • Box, G.E.P.1    Jenkins, G.M.2
  • 57
    • 10844274425 scopus 로고
    • Discrete models for feedback and feedforward control
    • ed. D. G. Watts, Academic, New York
    • Box, G. E. P. and G. M. Jenkins, "Discrete models for feedback and feedforward control," in The Future of Statistics, ed. D. G. Watts, Academic, New York, 1968, pp. 201-240.
    • (1968) The Future of Statistics , pp. 201-240
    • Box, G.E.P.1    Jenkins, G.M.2
  • 58
    • 0002973528 scopus 로고
    • Some recent advances in forecasting and control, I
    • Box, G. E. P. and G. M. Jenkins, "Some recent advances in forecasting and control, I," Appl. Statist., 17, 91-109, 1968.
    • (1968) Appl. Statist , vol.17 , pp. 91-109
    • Box, G.E.P.1    Jenkins, G.M.2
  • 59
    • 3042557005 scopus 로고
    • Discrete models for forecasting and control
    • A. R. Meaham and R. A. Hudson, Pergamon, Elmsford, NY
    • Box, G. E. P. and G. M. Jenkins, "Discrete models for forecasting and control," in Encyclopaedia of Linguistics, Information and Control, eds. A. R. Meaham and R. A. Hudson, Pergamon, Elmsford, NY, 1969, p. 162.
    • (1969) Encyclopaedia of Linguistics, Information and Control , pp. 162
    • Box, G.E.P.1    Jenkins, G.M.2
  • 60
    • 0005382717 scopus 로고
    • Some statistical aspects of adaptive optimization and control,
    • Box, G. E. P. and G. M. Jenkins, "Some statistical aspects of adaptive optimization and control," J. Royal Statist. Soc., B24, 297-331, 1962.
    • (1962) J. Royal Statist. Soc , vol.B24 , pp. 297-331
    • Box, G.E.P.1    Jenkins, G.M.2
  • 61
    • 3042521773 scopus 로고
    • Mathematical models for adaptive control and optimization
    • Box, G. E. P. and G. M. Jenkins, "Mathematical models for adaptive control and optimization", AIChE. J. Chem. E Symp. Ser., 4, 61, 1965.
    • (1965) AIChE. J. Chem. E Symp. Ser , vol.4 , Issue.61
    • Box, G.E.P.1    Jenkins, G.M.2
  • 62
    • 0005191320 scopus 로고
    • Time Series Analysis: Forecasting Control
    • San Francisco
    • Box G. E. P. and G. M. Jenkins, Time Series Analysis: Forecasting and Control, rev. ed., Holden-Day, San Francisco, 1976.
    • (1976) Holden-Day
    • Box, G.E.P.1    Jenkins, G.M.2
  • 63
    • 84894279519 scopus 로고
    • Models for forecasting seasonal nonseasonal time series
    • B. Harris Wiley New York
    • Box, G. E. P., G. M. Jenkins, and D. W. Bacon, "Models for forecasting seasonal and nonseasonal time series," in Spectral Analysis of Time Series, ed. B. Harris, Wiley, New York, 1967, pp. 271-311.
    • (1967) Spectral Analysis of Time Series , pp. 271-311
    • Box, G.E.P.1    Jenkins, G.M.2    Bacon, D.W.3
  • 64
    • 0016329266 scopus 로고
    • Some recent advances in forecasting and control, Part II
    • Box, G. E. P., G. M. Jenkins, and J. F. MacGregor, "Some recent advances in forecasting and control, Part II," Appl. Statist., 23, 158-179, 1974.
    • (1974) Appl. Statist , vol.23 , pp. 158-179
    • Box, G.E.P.1    Jenkins, G.M.2    MacGregor, J.F.3
  • 65
    • 84914976143 scopus 로고
    • Least squares analysis with a dynamic model
    • Technical Report 105, Department of Statistics, University of Wisconsin-Madison
    • Box, G. E. P., G. M. Jenkins, and D. W. Wichern, "Least squares analysis with a dynamic model," Technical Report 105, Department of Statistics, University of Wisconsin-Madison, 1967.
    • (1967)
    • Box, G.E.P.1    Jenkins, G.M.2    Wichern, D.W.3
  • 66
    • 84893529721 scopus 로고
    • Statistical process monitoring and feedback adjustments-a discussion
    • Box, G. E. P. and T. Kramer, "Statistical process monitoring and feedback adjustments-a discussion," Technometrics, 34, 251-285, 1992.
    • (1992) Technometrics , vol.34 , pp. 251-285
    • Box, G.E.P.1    Kramer, T.2
  • 67
    • 85023783162 scopus 로고
    • Charts for optimal feedback control with recursive sampling and adjustment
    • University of Wisconsin-Madison
    • Box, G. E. P. and A. Luceno, "Charts for optimal feedback control with recursive sampling and adjustment," Report 89, Center for Quality and Productivity Improvement, University of Wisconsin-Madison, 1993.
    • (1993) Center for Quality and Productivity Improvement
    • Box, G.E.P.1    Luceno, A.2
  • 68
    • 0016094763 scopus 로고
    • The analysis of closed-loop dynamic stochastic systems
    • Box, G. E. P. and J. F. MacGregor, "The analysis of closed-loop dynamic stochastic systems," Technometrics, 16, 391-398, 1974.
    • (1974) Technometrics , vol.16 , pp. 391-398
    • Box, G.E.P.1    MacGregor, J.F.2
  • 69
    • 0344663257 scopus 로고
    • Parameter estimation with closed-loop operating data
    • Box, G. E. P. and J. F. MacGregor, "Parameter estimation with closed-loop operating data," Technometrics, 18, 371-380, 1976.
    • (1976) Technometrics , vol.18 , pp. 371-380
    • Box, G.E.P.1    MacGregor, J.F.2
  • 70
    • 84945595789 scopus 로고
    • Distribution of residual autocorrelations in autoregressive-integrated moving average time series models
    • Box, G. E. P. and D. A. Pierce, "Distribution of residual autocorrelations in autoregressive-integrated moving average time series models," J. Am. Statist. Assoc., 65, 1509-1526, 1970.
    • (1970) J. Am. Statist. Assoc , vol.65 , pp. 1509-1526
    • Box, G.E.P.1    Pierce, D.A.2
  • 73
    • 84950643380 scopus 로고
    • Intervention analysis with applications to economic and environmental problems
    • Box, G. E. P. and G. C. Tiao, "Intervention analysis with applications to economic and environmental problems," J. Am. Statist. Assoc., 70, 70-79, 1975.
    • (1975) J. Am. Statist. Assoc , vol.70 , pp. 70-79
    • Box, G.E.P.1    Tiao, G.C.2
  • 74
    • 0017242910 scopus 로고
    • Comparison of forecast and actuality
    • Box, G. E. P. and G. C. Tiao, "Comparison of forecast and actuality," Appl. Statist., 25, 195-200, 1976.
    • (1976) Appl. Statist , vol.25 , pp. 195-200
    • Box, G.E.P.1    Tiao, G.C.2
  • 75
    • 0005645781 scopus 로고
    • Multiparameter problems from a Bayesian point of view
    • Box, G. E. P. and G. C. Tiao, "Multiparameter problems from a Bayesian point of view," Ann. Math. Statist., 36, 1468-1482, 1965.
    • (1965) Ann. Math. Statist , vol.36 , pp. 1468-1482
    • Box, G.E.P.1    Tiao, G.C.2
  • 76
    • 79951607324 scopus 로고
    • Dynamic equations for economic forecasting with the G.D.P.-unemployment relation and the growth of G.D.P. In the United Kingdom as an example,
    • Bray, J., "Dynamic equations for economic forecasting with the G.D.P.-unemployment relation and the growth of G.D.P. In the United Kingdom as an example," J. Royal Statist. Soc., A134, 167-209, 1971.
    • (1971) J. Royal Statist. Soc , vol.A134 , pp. 167-209
    • Bray, J.1
  • 77
    • 0005300674 scopus 로고
    • Correlation analysis of process dynamics using pseudo-random binary test perturbations,
    • Advances in Automatic Control Paper Nottingham, UK, April
    • Briggs, P. A. N., P. H. Hammond, M. T. G. Hughes, and G. O. Plumb, "Correlation analysis of process dynamics using pseudo-random binary test perturbations," Inst. Mech. Eng., Advances in Automatic Control , Paper 7, Nottingham, UK, April 1965.
    • (1965) Inst. Mech. Eng
    • Briggs, P.A.N.1    Hammond, P.H.2    Hughes, M.T.G.3    Plumb, G.O.4
  • 79
    • 56449111759 scopus 로고
    • Forecasting and Prediction of Discrete Time Series, Prentice-Hall, Englewood Cliffs, NJ
    • Brown, R. G., Smoothing, Forecasting and Prediction of Discrete Time Series, Prentice-Hall, Englewood Cliffs, NJ, 1962.
    • (1962) Smoothing
    • Brown, R.G.1
  • 80
    • 0001097933 scopus 로고
    • The fundamental theorem of exponential smoothing
    • Brown, R. G. and R. F. Meyer, "The fundamental theorem of exponential smoothing," Operations Res., 9, 673-685, 1961.
    • (1961) Operations Res , vol.9 , pp. 673-685
    • Brown, R.G.1    Meyer, R.F.2
  • 81
    • 0017244238 scopus 로고
    • Interpolating time series with applications to the estimation of holiday effects on electricity demand
    • Brubacher, S. R. and G. Tunnicliffe Wilson, "Interpolating time series with applications to the estimation of holiday effects on electricity demand," Appl. Statist., 25, 107-116, 1976.
    • (1976) Appl. Statist , vol.25 , pp. 107-116
    • Brubacher, S.R.1    Tunnicliffe Wilson, G.2
  • 82
    • 0000057285 scopus 로고
    • Leave-k-out diagnostics for time series (with discussion)
    • Bruce A. G. and R. D. Martin, "Leave-k-out diagnostics for time series" (with discussion), J. Royal Statist. Soc., B51, 363-424, 1989.
    • (1989) J. Royal Statist. Soc , vol.B51 , pp. 363-424
    • Bruce, A.G.1    Martin, R.D.2
  • 83
    • 0001403934 scopus 로고
    • Limiting distributions of least squares estimates of unstable autoregressive processes
    • Chan N. H. and C. Z. Wei, "Limiting distributions of least squares estimates of unstable autoregressive processes," Ann. Statist., 16, 367-401, 1988.
    • (1988) Ann. Statist , vol.16 , pp. 367-401
    • Chan, N.H.1    Wei, C.Z.2
  • 84
    • 0024012372 scopus 로고
    • Estimation of time series parameters in the presence of outliers
    • Chang, I., G. C. Tiao, and C. Chen, "Estimation of time series parameters in the presence of outliers," Technometrics, 30, 193-204, 1988.
    • (1988) Technometrics , vol.30 , pp. 193-204
    • Chang, I.1    Tiao, G.C.2    Chen, C.3
  • 85
    • 0011798831 scopus 로고
    • Inverse autocorrelations,
    • Chatfield, C., "Inverse autocorrelations," J. Royal Statist. Soc., A142, 363-377, 1979.
    • (1979) J. Royal Statist. Soc , vol.A142 , pp. 363-377
    • Chatfield, C.1
  • 86
    • 0442293853 scopus 로고    scopus 로고
    • Bias reduction of autoregressive estimates in time series regression model through restricted maximum likelihood
    • Cheang, W. K. and G. C. Reinsel, "Bias reduction of autoregressive estimates in time series regression model through restricted maximum likelihood," J. Am. Statist. Assoc., 95, 1173-1184, 2000.
    • (2000) J. Am. Statist. Assoc , vol.95 , pp. 1173-1184
    • Cheang, W.K.1    Reinsel, G.C.2
  • 87
    • 0037382592 scopus 로고    scopus 로고
    • Finite sample properties of ML and REML estimators in time series regression models with long memory noise
    • Cheang W. K. and G. C. Reinsel, "Finite sample properties of ML and REML estimators in time series regression models with long memory noise," J. Statist. Comput. Simul., 73, 233-259, 2003.
    • (2003) J. Statist. Comput. Simul , vol.73 , pp. 233-259
    • Cheang, W.K.1    Reinsel, G.C.2
  • 88
    • 21144473917 scopus 로고
    • Joint estimation of model parameters and outlier effects in time series
    • Chen, C. and L.-M. Liu, "Joint estimation of model parameters and outlier effects in time series," J. Am. Statist. Assoc., 88, 284-297, 1993.
    • (1993) J. Am. Statist. Assoc , vol.88 , pp. 284-297
    • Chen, C.1    Liu, L.-M.2
  • 89
    • 84910792739 scopus 로고
    • Random level shift time series models, ARIMA approximation, and level shift detection
    • Chen, C. and G. C. Tiao, "Random level shift time series models, ARIMA approximation, and level shift detection," J. Business Econom. Statist., 8, 170-186, 1990.
    • (1990) J. Business Econom. Statist , vol.8 , pp. 170-186
    • Chen, C.1    Tiao, G.C.2
  • 90
    • 21144474543 scopus 로고
    • Nonlinear additive ARX models
    • Chen, R. and R. S. Tsay, "Nonlinear additive ARX models," J. Am. Statist. Assoc., 88, 955-967, 1993.
    • (1993) J. Am. Statist. Assoc , vol.88 , pp. 955-967
    • Chen, R.1    Tsay, R.S.2
  • 91
    • 0015343221 scopus 로고
    • The inverse autocorrelations of a time series and their applications
    • Cleveland, W. S., "The inverse autocorrelations of a time series and their applications," Technometrics, 14, 277-293, 1972.
    • (1972) Technometrics , vol.14 , pp. 277-293
    • Cleveland, W.S.1
  • 92
    • 0017743528 scopus 로고
    • A note on the estimation of the parameters of the autoregressive moving average process
    • Cooper, D. M. and R. Thompson, "A note on the estimation of the parameters of the autoregressive moving average process," Biometrika, 64, 625-628, 1977.
    • (1977) Biometrika , vol.64 , pp. 625-628
    • Cooper, D.M.1    Thompson, R.2
  • 93
    • 84986804746 scopus 로고
    • Identifying multivariate time series models
    • Cooper D. M. and E. F. Wood, "Identifying multivariate time series models," J. Time Ser. Anal., 3, 153-164, 1982.
    • (1982) J. Time Ser. Anal , vol.3 , pp. 153-164
    • Cooper, D.M.1    Wood, E.F.2
  • 94
    • 0001613054 scopus 로고
    • The multivariate t -distribution associated with a set of normal sample deviates
    • Cornish, E. A., "The multivariate t -distribution associated with a set of normal sample deviates," Austral. J. Phys., 7, 531, 1954.
    • (1954) Austral. J. Phys , vol.7 , pp. 531
    • Cornish, E.A.1
  • 95
    • 0001574653 scopus 로고
    • Prediction by exponentially weighted moving averages and related methods,
    • Cox, D. R., "Prediction by exponentially weighted moving averages and related methods," J. Royal Statist. Soc., B23, 414-422, 1961.
    • (1961) J. Royal Statist. Soc , vol.B23 , pp. 414-422
    • Cox, D.R.1
  • 96
    • 0002308650 scopus 로고
    • Interpolating missing values in a time series
    • Damsleth, E., "Interpolating missing values in a time series," Scand. J. Statist., 7, 33-39, 1980.
    • (1980) Scand. J. Statist , vol.7 , pp. 33-39
    • Damsleth, E.1
  • 97
    • 84894519856 scopus 로고
    • Use of half-normal plots in interpreting factorial two-level experiments
    • Daniel, C., "Use of half-normal plots in interpreting factorial two-level experiments," Technometrics, 1, 311-341, 1959.
    • (1959) Technometrics , vol.1 , pp. 311-341
    • Daniel, C.1
  • 98
    • 0001095181 scopus 로고
    • The approximate distribution of serial correlation coefficients
    • Daniels, H. E., "The approximate distribution of serial correlation coefficients," Biometrika, 43, 169-185, 1956.
    • (1956) Biometrika , vol.43 , pp. 169-185
    • Daniels, H.E.1
  • 99
    • 0017743523 scopus 로고
    • Significance levels of the Box-Pierce portmanteau statistic in finite samples
    • Davies, N., C. M. Triggs, and P. Newbold, "Significance levels of the Box-Pierce portmanteau statistic in finite samples," Biometrika, 64, 517-522, 1977.
    • (1977) Biometrika , vol.64 , pp. 517-522
    • Davies, N.1    Triggs, C.M.2    Newbold, P.3
  • 100
    • 0040830181 scopus 로고
    • Vector linear time series models: Corrections and extensions
    • Deistler, M., W. Dunsmuir, and E. J. Hannan, "Vector linear time series models: Corrections and extensions," Adv. Appl. Probab., 10, 360-372, 1978.
    • (1978) Adv. Appl. Probab , vol.10 , pp. 360-372
    • Deistler, M.1    Dunsmuir, W.2    Hannan, E.J.3
  • 101
    • 0003964033 scopus 로고
    • Center for Advanced Engineering Study, MIT, Cambridge, MA
    • Deming, W. E., Out of the Crisis, Center for Advanced Engineering Study, MIT, Cambridge, MA, 1986.
    • (1986) Out of the Crisis
    • Deming, W.E.1
  • 102
    • 11244342740 scopus 로고
    • A Monte Carlo study of autoregressive integrated moving average processes
    • Dent, W. and A. S. Min, "A Monte Carlo study of autoregressive integrated moving average processes," J. Econometrics, 7, 23-55, 1978.
    • (1978) J. Econometrics , vol.7 , pp. 23-55
    • Dent, W.1    Min, A.S.2
  • 103
    • 84952491884 scopus 로고
    • Unit roots in time series models: Tests and implications
    • Dickey, D. A., W. R. Bell, and R. B. Miller, "Unit roots in time series models: Tests and implications," Am. Statist., 40, 12-26, 1986.
    • (1986) Am. Statist , vol.40 , pp. 12-26
    • Dickey, D.A.1    Bell, W.R.2    Miller, R.B.3
  • 104
    • 85036258669 scopus 로고
    • Distribution of the estimates for autoregressive time series with a unit root
    • Dickey, D. A. and W. A. Fuller, "Distribution of the estimates for autoregressive time series with a unit root," J. Am. Statist. Assoc., 74, 427-431, 1979.
    • (1979) J. Am. Statist. Assoc , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 105
    • 35248821084 scopus 로고
    • Determining the order of differencing in autoregressive processes
    • Dickey, D. A. and S. G. Pantula, "Determining the order of differencing in autoregressive processes," J. Business Econom. Statist., 5, 455-461, 1987.
    • (1987) J. Business Econom. Statist , vol.5 , pp. 455-461
    • Dickey, D.A.1    Pantula, S.G.2
  • 108
    • 0000777364 scopus 로고
    • A bivariate generalization of Student's t -distribution, with tables for certain special cases
    • Dunnett C. W. and M. Sobel, "A bivariate generalization of Student's t -distribution, with tables for certain special cases," Biometrika, 41, 153-169, 1954.
    • (1954) Biometrika , vol.41 , pp. 153-169
    • Dunnett, C.W.1    Sobel, M.2
  • 109
    • 0000734115 scopus 로고
    • Vector linear time series models
    • Dunsmuir,W. and E. J. Hannan, "Vector linear time series models," Adv. Appl. Probab., 8, 339-364, 1976.
    • (1976) Adv. Appl. Probab , vol.8 , pp. 339-364
    • Dunsmuir, W.1    Hannan, E.J.2
  • 110
    • 0000250861 scopus 로고
    • The fitting of time-series models
    • Durbin, J., "The fitting of time-series models," Rev. Internat. Statist. Inst., 28, 233-244, 1960.
    • (1960) Rev. Internat. Statist. Inst , vol.28 , pp. 233-244
    • Durbin, J.1
  • 111
    • 0000208041 scopus 로고
    • Testing for serial correlation in least-squares regression when some of the regressors are lagged dependent variables
    • Durbin, J., "Testing for serial correlation in least-squares regression when some of the regressors are lagged dependent variables," Econometrica, 38, 410-421, 1970.
    • (1970) Econometrica , vol.38 , pp. 410-421
    • Durbin, J.1
  • 112
    • 84913639069 scopus 로고
    • An alternative to the bounds test for testing for serial correlation in least-squares regression
    • Durbin, J., "An alternative to the bounds test for testing for serial correlation in least-squares regression," Econometrica, 38, 422-429, 1970.
    • (1970) Econometrica , vol.38 , pp. 422-429
    • Durbin, J.1
  • 113
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott, G., T. J. Rothenberg, and J. H. Stock, "Efficient tests for an autoregressive unit root," Econometrica, 64, 813-836, 1996.
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 114
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R. F., "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation," Econometrica, 50, 987-1008, 1982.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 115
    • 0001005120 scopus 로고
    • Estimates of the variance of U.S. inflation based on the ARCH model
    • Engle, R. F., "Estimates of the variance of U.S. inflation based on the ARCH model," J. Money Credit Banking, 15, 286-301, 1983.
    • (1983) J. Money Credit Banking , vol.15 , pp. 286-301
    • Engle, R.F.1
  • 116
    • 84963146757 scopus 로고
    • Modeling the persistence of conditional variances
    • Engle, R. F. and T. Bollerslev, "Modeling the persistence of conditional variances," Econom. Rev., 5, 1-50, 1986.
    • (1986) Econom. Rev , vol.5 , pp. 1-50
    • Engle, R.F.1    Bollerslev, T.2
  • 117
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation, and testing
    • Engle, R. F. and C.W. J. Granger, "Co-integration and error correction: Representation, estimation, and testing," Econometrica, 55, 251-276, 1987.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 118
    • 0011629779 scopus 로고
    • Multiperiod forecast error variances of inflation estimated from ARCH models
    • A. Zellner, Bureau of the Census, Washington, DC
    • Engle, R. F. and D. Kraft, "Multiperiod forecast error variances of inflation estimated from ARCH models," in Applied Time Series Analysis of Economic Data, ed. A. Zellner, Bureau of the Census, Washington, DC, 1983, pp. 293-302.
    • (1983) Applied Time Series Analysis of Economic Data , pp. 293-302
    • Engle, R.F.1    Kraft, D.2
  • 119
    • 0000398287 scopus 로고
    • An application of Box-Jenkins methodology to the control of gluten addition in a flour mill
    • Fearn, T. and P. I. Maris, "An application of Box-Jenkins methodology to the control of gluten addition in a flour mill," Appl. Statist., 40, 477-484, 1991.
    • (1991) Appl. Statist , vol.40 , pp. 477-484
    • Fearn, T.1    Maris, P.I.2
  • 121
    • 0000033779 scopus 로고
    • Outliers in time series,
    • Fox, A. J., "Outliers in time series," J. Royal Statist. Soc., B34, 350-363, 1972.
    • (1972) J. Royal Statist. Soc , vol.B34 , pp. 350-363
    • Fox, A.J.1
  • 123
    • 0010162709 scopus 로고
    • Algorithm AS 154. an algorithm for exact maximum likelihood estimation of autoregressive-moving average models by means of Kalman filtering
    • Gardner, G., A. C. Harvey, and G. D. A. Phillips, "Algorithm AS 154. an algorithm for exact maximum likelihood estimation of autoregressive-moving average models by means of Kalman filtering," Appl. Statist., 29, 311-322, 1980.
    • (1980) Appl. Statist , vol.29 , pp. 311-322
    • Gardner, G.1    Harvey, A.C.2    Phillips, G.D.A.3
  • 124
    • 0000157472 scopus 로고
    • The prediction of time series with trends and seasonalities
    • Gersch, W. and G. Kitagawa, "The prediction of time series with trends and seasonalities," J. Business Econom. Statist., 1, 253-264, 1983.
    • (1983) J. Business Econom. Statist , vol.1 , pp. 253-264
    • Gersch, W.1    Kitagawa, G.2
  • 125
    • 84986759400 scopus 로고
    • The estimation and application of long memory time series models
    • Geweke, J. and S. Porter-Hudak, "The estimation and application of long memory time series models," J. Time Ser. Anal., 4, 221-238, 1983.
    • (1983) J. Time Ser. Anal , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 126
    • 0018409078 scopus 로고
    • Testing the adequacy of a time series model
    • Godfrey, L. G., "Testing the adequacy of a time series model," Biometrika, 66, 67-72, 1979.
    • (1979) Biometrika , vol.66 , pp. 67-72
    • Godfrey, L.G.1
  • 128
    • 84986792205 scopus 로고
    • An introduction to long-memory time series models and fractional differencing
    • Granger C. W. J. and R. Joyeux, "An introduction to long-memory time series models and fractional differencing," J. Time Ser. Anal., 1, 15-29, 1980.
    • (1980) J. Time Ser. Anal , vol.1 , pp. 15-29
    • Granger, C.W.J.1    Joyeux, R.2
  • 131
    • 77956887690 scopus 로고
    • Modeling nonlinear vibrations using an amplitude-dependent autoregressive time series model
    • Haggan, V. and T. Ozaki, "Modeling nonlinear vibrations using an amplitude-dependent autoregressive time series model," Biometrika, 68, 189-196, 1981.
    • (1981) Biometrika , vol.68 , pp. 189-196
    • Haggan, V.1    Ozaki, T.2
  • 134
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton, NJ
    • Hamilton, J. D., Time Series Analysis, Princeton University Press, Princeton, NJ, 1994.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 139
    • 0000908767 scopus 로고
    • Multivariate linear time series models
    • Hannan, E. J. and L. Kavalieris, "Multivariate linear time series models," Adv. Appl. Probab., 16, 492-561, 1984.
    • (1984) Adv. Appl. Probab , vol.16 , pp. 492-561
    • Hannan, E.J.1    Kavalieris, L.2
  • 140
    • 0000263475 scopus 로고
    • The determination of the order of an autoregression,
    • Hannan, E. J. and B. G. Quinn, "The determination of the order of an autoregression," J. Royal Statist. Soc., B41, 190-195, 1979.
    • (1979) J. Royal Statist. Soc , vol.B41 , pp. 190-195
    • Hannan, E.J.1    Quinn, B.G.2
  • 141
    • 0000493811 scopus 로고
    • Recursive estimation of mixed autoregressive moving average order
    • Correction, 70, 303, 1983
    • Hannan, E. J. and J. Rissanen, "Recursive estimation of mixed autoregressive moving average order," Biometrika, 69, 81-94, 1982. Correction, 70, 303, 1983.
    • (1982) Biometrika , vol.69 , pp. 81-94
    • Hannan, E.J.1    Rissanen, J.2
  • 142
    • 0020149509 scopus 로고
    • An overview of discrete stochastic controllers: Generalized PID algorithms with dead-time compensation
    • Harris, T. J., J. F. MacGregor, and J. D. Wright, "An overview of discrete stochastic controllers: Generalized PID algorithms with dead-time compensation," Canad. J. Chem. Engrg., 60, 425-432, 1982.
    • (1982) Canad. J. Chem. Engrg , vol.60 , pp. 425-432
    • Harris, T.J.1    MacGregor, J.F.2    Wright, J.D.3
  • 143
    • 0010177004 scopus 로고
    • Short-term sales forecasting
    • Harrison, P. J., "Short-term sales forecasting," Appl. Statist., 14, 102-139, 1965.
    • (1965) Appl. Statist , vol.14 , pp. 102-139
    • Harrison, P.J.1
  • 144
    • 84986776478 scopus 로고
    • Finite sample prediction and overdifferencing
    • Harvey, A. C., "Finite sample prediction and overdifferencing," J. Time Ser. Anal., 2, 221-232, 1981.
    • (1981) J. Time Ser. Anal , vol.2 , pp. 221-232
    • Harvey, A.C.1
  • 145
    • 1542578196 scopus 로고
    • Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge
    • Harvey, A. C., Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge, 1989.
    • (1989) Forecasting
    • Harvey, A.C.1
  • 146
    • 0018424432 scopus 로고
    • Maximum likelihood estimation of regression models with autoregressive-moving average disturbances
    • Harvey A. C. and G. D. A. Phillips, "Maximum likelihood estimation of regression models with autoregressive-moving average disturbances," Biometrika, 66, 49-58, 1979.
    • (1979) Biometrika , vol.66 , pp. 49-58
    • Harvey, A.C.1    Phillips, G.D.A.2
  • 147
    • 0002561963 scopus 로고
    • Estimating missing observations in economic time series
    • Harvey A. C. and R. G. Pierse, "Estimating missing observations in economic time series," J. Am. Statist. Assoc., 79, 125-131, 1984.
    • (1984) J. Am. Statist. Assoc , vol.79 , pp. 125-131
    • Harvey, A.C.1    Pierse, R.G.2
  • 148
    • 84952213852 scopus 로고
    • Forecasting economic time series with structural and Box-Jenkins models: A case study
    • Harvey A. C. and P. H. J. Todd, "Forecasting economic time series with structural and Box-Jenkins models: A case study," J. Business Econom. Statist., 1, 299-307, 1983.
    • (1983) J. Business Econom. Statist , vol.1 , pp. 299-307
    • Harvey, A.C.1    Todd, P.H.J.2
  • 149
    • 85041975654 scopus 로고
    • Bayesian inference for variance components using only error contrasts
    • Harville, D. A., "Bayesian inference for variance components using only error contrasts," Biometrika, 61, 383-385, 1974.
    • (1974) Biometrika , vol.61 , pp. 383-385
    • Harville, D.A.1
  • 150
    • 84890913931 scopus 로고
    • Maximum likelihood approaches to variance component estimation and to related problems
    • Harville, D. A., "Maximum likelihood approaches to variance component estimation and to related problems," J. Am. Statist. Assoc., 72, 320-340, 1977.
    • (1977) J. Am. Statist. Assoc , vol.72 , pp. 320-340
    • Harville, D.A.1
  • 151
    • 84950630088 scopus 로고
    • Identification of dynamic regression (distributed lag) models connecting two time series
    • Haugh L. D. and G. E. P. Box, "Identification of dynamic regression (distributed lag) models connecting two time series," J. Am. Statist. Assoc., 72, 121-130, 1977.
    • (1977) J. Am. Statist. Assoc , vol.72 , pp. 121-130
    • Haugh, L.D.1    Box, G.E.P.2
  • 152
    • 0033176771 scopus 로고    scopus 로고
    • Maximum likelihood estimators for ARMA and ARFIMA models: A Monte Carlo study
    • Hauser, M. A., "Maximum likelihood estimators for ARMA and ARFIMA models: A Monte Carlo study," J. Statist. Planning Inference, 80, 229-255, 1999.
    • (1999) J. Statist. Planning Inference , vol.80 , pp. 229-255
    • Hauser, M.A.1
  • 153
    • 84948316418 scopus 로고
    • Likelihood function of stationary multiple autoregressive moving average models
    • Hillmer S. C. and G. C. Tiao, "Likelihood function of stationary multiple autoregressive moving average models," J. Am. Statist. Assoc., 74, 652-660, 1979.
    • (1979) J. Am. Statist. Assoc , vol.74 , pp. 652-660
    • Hillmer, S.C.1    Tiao, G.C.2
  • 154
    • 0002320220 scopus 로고
    • An ARIMA-model-based approach to seasonal adjustment
    • Hillmer S. C. and G. C. Tiao, "An ARIMA-model-based approach to seasonal adjustment," J. Am. Statist. Assoc., 77, 63-70, 1982.
    • (1982) J. Am. Statist. Assoc , vol.77 , pp. 63-70
    • Hillmer, S.C.1    Tiao, G.C.2
  • 155
    • 84986811814 scopus 로고
    • Testing for Gaussianity and linearity of a stationary time series
    • Hinich, M. J., "Testing for Gaussianity and linearity of a stationary time series," J. Time Ser. Anal., 3, 169-176, 1982.
    • (1982) J. Time Ser. Anal , vol.3 , pp. 169-176
    • Hinich, M.J.1
  • 156
    • 0003890150 scopus 로고
    • Forecasting trends and seasonals by exponentially weighted moving averages
    • O.N.R. Memorandum 52 , Carnegie Institute of Technology, Pittsburgh, PA
    • Holt, C. C., "Forecasting trends and seasonals by exponentially weighted moving averages," O.N.R. Memorandum 52 , Carnegie Institute of Technology, Pittsburgh, PA, 1957.
    • (1957)
    • Holt, C.C.1
  • 157
    • 85023786003 scopus 로고
    • J. F. Muth, and H. A. Simon, Planning Production, Inventories and Work Force, Prentice-Hall, Englewood Cliffs, NJ
    • Holt, C. C., F. Modigliani, J. F. Muth, and H. A. Simon, Planning Production, Inventories and Work Force, Prentice-Hall, Englewood Cliffs, NJ, 1963.
    • (1963) F. Modigliani
    • Holt, C.C.1
  • 158
    • 34247389219 scopus 로고
    • The multivariate portmanteau statistic
    • Hosking, J. R. M., "The multivariate portmanteau statistic," J. Am. Statist. Assoc., 75, 602-608, 1980.
    • (1980) J. Am. Statist. Assoc , vol.75 , pp. 602-608
    • Hosking, M.J.R.1
  • 159
    • 77956890381 scopus 로고
    • Fractional differencing
    • Hosking, J. R. M., "Fractional differencing," Biometrika, 68, 165-176, 1981.
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, M.J.R.1
  • 160
    • 0000708126 scopus 로고    scopus 로고
    • Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long memory time series
    • Hosking, J. R. M., "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long memory time series," J. Econom., 73, 261-284, 1996.
    • (1996) J. Econom , vol.73 , pp. 261-284
    • Hosking, M.J.R.1
  • 162
    • 84945059200 scopus 로고
    • Measurement of dynamic characteristics of full-scale plant using random perturbing signals: An application to a refinery distillation column
    • Hutchinson A. W. and R. J. Shelton, "Measurement of dynamic characteristics of full-scale plant using random perturbing signals: An application to a refinery distillation column," Trans. Inst. Chem. Eng., 45, 334-342, 1967.
    • (1967) Trans. Inst. Chem. Eng , vol.45 , pp. 334-342
    • Hutchinson, A.W.1    Shelton, R.J.2
  • 164
    • 84952181953 scopus 로고
    • Bayesian analysis of stochastic volatility models (with discussion)
    • Jacquier, E., N. G. Polson, and P. Rossi, "Bayesian analysis of stochastic volatility models (with discussion)," J. Bus. Econ. Statist., 12, 371-417, 1994.
    • (1994) J. Bus. Econ. Statist , vol.12 , pp. 371-417
    • Jacquier, E.1    Polson, N.G.2    Rossi, P.3
  • 166
    • 12144269191 scopus 로고
    • Tests of hypotheses in the linear autoregressive model, I
    • II, Biometrika, 43, 186-199, 1956
    • Jenkins, G. M., "Tests of hypotheses in the linear autoregressive model, I," Biometrika, 41, 405-419, 1954; II, Biometrika, 43, 186-199, 1956.
    • (1954) Biometrika , vol.41 , pp. 405-419
    • Jenkins, G.M.1
  • 167
    • 0001386446 scopus 로고
    • Relationships between Bayesian and confidence limits for predictors
    • by A. R. Thatcher
    • Jenkins, G. M., contribution to the discussion of the paper "Relationships between Bayesian and confidence limits for predictors," by A. R. Thatcher, J. Royal Statist. Soc., B26, 176-210, 1964.
    • (1964) J. Royal Statist. Soc , vol.B26 , pp. 176-210
    • Jenkins, G.M.1
  • 168
    • 84913405235 scopus 로고
    • The interaction between the muskrat and mink cycles in North Canada
    • Editura Academiei Republicii Socialiste Romania, Bucharest
    • Jenkins, G. M., "The interaction between the muskrat and mink cycles in North Canada," Proc. 8th International Biometric Conference, Editura Academiei Republicii Socialiste Romania, Bucharest, 1975, pp. 55-71.
    • (1975) Proc. 8th International Biometric Conference , pp. 55-71
    • Jenkins, G.M.1
  • 171
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • Johansen, S., "Statistical analysis of cointegration vectors," J. Econom. Dynamics Control , 12, 231-254, 1988.
    • (1988) J. Econom. Dynamics Control , vol.12 , pp. 231-254
    • Johansen, S.1
  • 172
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen, S., "Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models," Econometrica, 59, 1551-1580, 1991.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 173
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration-with applications to the demand for money
    • Johansen, S. and K. Juselius, "Maximum likelihood estimation and inference on cointegration-with applications to the demand for money," Oxford Bull. Econ. Statist., 52, 169-210, 1990.
    • (1990) Oxford Bull. Econ. Statist , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 174
    • 0001353940 scopus 로고
    • Maximum likelihood fitting of ARMA models to time series with missing observations
    • Jones, R. H., "Maximum likelihood fitting of ARMA models to time series with missing observations," Technometrics, 22, 389-395, 1980.
    • (1980) Technometrics , vol.22 , pp. 389-395
    • Jones, R.H.1
  • 175
    • 85024429815 scopus 로고
    • A new approach to linear filtering and prediction problems
    • Kalman, R. E., "A new approach to linear filtering and prediction problems," J. Basic Engrg., 82, 35-45, 1960.
    • (1960) J. Basic Engrg , vol.82 , pp. 35-45
    • Kalman, R.E.1
  • 176
    • 85024423711 scopus 로고
    • New results in linear filtering and prediction theory
    • Kalman R. E. and R. S. Bucy, "New results in linear filtering and prediction theory," J. Basic Engrg., 83, 95-108, 1961.
    • (1961) J. Basic Engrg , vol.83 , pp. 95-108
    • Kalman, R.E.1    Bucy, R.S.2
  • 177
    • 0002939889 scopus 로고
    • A Tukey non-additivity-type test for time series nonlinearity
    • Keenan, D. M., "A Tukey non-additivity-type test for time series nonlinearity," Biometrika, 72, 39-44, 1985.
    • (1985) Biometrika , vol.72 , pp. 39-44
    • Keenan, D.M.1
  • 178
    • 0005542349 scopus 로고
    • On the analysis of oscillatory time-series,
    • Kendall, M. G., "On the analysis of oscillatory time-series," J. Royal Statist. Soc., A108, 93-129, 1945.
    • (1945) J. Royal Statist. Soc , vol.A108 , pp. 93-129
    • Kendall, M.G.1
  • 180
    • 84950428388 scopus 로고
    • A smoothness priors-state space modeling of time series with trend and seasonality
    • Kitagawa, G. and W. Gersch, "A smoothness priors-state space modeling of time series with trend and seasonality," J. Am. Statist. Assoc., 79, 378-389, 1984.
    • (1984) J. Am. Statist. Assoc , vol.79 , pp. 378-389
    • Kitagawa, G.1    Gersch, W.2
  • 181
    • 1542682978 scopus 로고
    • Estimation, prediction, and interpolation for ARIMA models with missing data
    • Kohn, R. and C. F. Ansley "Estimation, prediction, and interpolation for ARIMA models with missing data," J. Am. Statist. Assoc., 81, 751-761, 1986.
    • (1986) J. Am. Statist. Assoc , vol.81 , pp. 751-761
    • Kohn, R.1    Ansley, C.F.2
  • 182
    • 0001529096 scopus 로고
    • Sur l'interpolation et l'extrapolation des suites stationnaires
    • Kolmogoroff, A., "Sur l'interpolation et l'extrapolation des suites stationnaires," C. R. Acad. Sci. Paris, 208, 2043-2045, 1939.
    • (1939) C. R. Acad. Sci. Paris , vol.208 , pp. 2043-2045
    • Kolmogoroff, A.1
  • 183
    • 0002769262 scopus 로고
    • Stationary sequences in Hilbert space
    • Kolmogoroff, A., "Stationary sequences in Hilbert space," Bull. Math. Univ. Moscow, 2(6), 1-40, 1941.
    • (1941) Bull. Math. Univ. Moscow , vol.2 , Issue.6 , pp. 1-40
    • Kolmogoroff, A.1
  • 184
    • 0003195582 scopus 로고
    • Interpolation und Extrapolation von stationaren zufalligen folgen
    • Kolmogoroff, A., "Interpolation und Extrapolation von stationaren zufalligen folgen," Bull. Acad. Sci. (Nauk) U.S.S.R., Ser. Math., 5, 3-14, 1941.
    • (1941) Bull. Acad. Sci. (Nauk) U.S.S.R., Ser. Math , vol.5 , pp. 3-14
    • Kolmogoroff, A.1
  • 186
    • 0002105843 scopus 로고
    • Serial correlation and quadratic forms in normal variables
    • Koopmans, T., "Serial correlation and quadratic forms in normal variables," Ann. Math. Statist., 13, 14-33, 1942.
    • (1942) Ann. Math. Statist , vol.13 , pp. 14-33
    • Koopmans, T.1
  • 188
    • 35848965073 scopus 로고
    • A discrete predictor-controller applied to sinusoidal perturbation adaptive optimization
    • Kotnour, K. D., G. E. P. Box, and R. J. Altpeter, "A discrete predictor-controller applied to sinusoidal perturbation adaptive optimization," Inst. Soc. Am. Trans., 5, 255-262, 1966.
    • (1966) Inst. Soc. Am. Trans , vol.5 , pp. 255-262
    • Kotnour, K.D.1    Box, G.E.P.2    Altpeter, R.J.3
  • 189
    • 0030327109 scopus 로고    scopus 로고
    • Modeling flat stretches, bursts, and outliers in time series using mixture transition distribution models
    • Le, N. D., R. D. Martin, and A. E. Raftery, "Modeling flat stretches, bursts, and outliers in time series using mixture transition distribution models," J. Am. Statist. Assoc., 91, 1504-1515, 1996.
    • (1996) J. Am. Statist. Assoc , vol.91 , pp. 1504-1515
    • Le, N.D.1    Martin, R.D.2    Raftery, A.E.3
  • 190
    • 84910548496 scopus 로고
    • Recursive estimation and adaptive forecasting in ARIMA models with time varying coefficients
    • ed. D. F. Findley, Academic, New York
    • Ledolter, J., "Recursive estimation and adaptive forecasting in ARIMA models with time varying coefficients," in Applied Time Series II , ed. D. F. Findley, Academic, New York, 1981, pp. 449-472.
    • (1981) Applied Time Series , pp. 449-472
    • Ledolter, J.1
  • 191
    • 78649633935 scopus 로고
    • Nonlinear modeling of time series using multivariate adaptive regression splines (MARS)
    • Lewis, P. A. W. and J. G. Stevens, "Nonlinear modeling of time series using multivariate adaptive regression splines (MARS)," J. Am. Statist. Assoc., 86, 864-877, 1991.
    • (1991) J. Am. Statist. Assoc , vol.86 , pp. 864-877
    • Lewis, P.A.W.1    Stevens, J.G.2
  • 193
    • 0000366505 scopus 로고
    • Distribution of the residual autocorrelations in multivariate ARMA time series models,
    • Li, W. K. and A. I. McLeod, "Distribution of the residual autocorrelations in multivariate ARMA time series models," J. Royal Statist. Soc., B 43, 231-239, 1981.
    • (1981) J. Royal Statist. Soc , vol.B43 , pp. 231-239
    • Li, W.K.1    McLeod, A.I.2
  • 194
    • 0003081894 scopus 로고
    • Fractional time series modelling
    • Li W. K. and A. I. McLeod, "Fractional time series modelling," Biometrika, 73, 217-221, 1986.
    • (1986) Biometrika , vol.73 , pp. 217-221
    • Li, W.K.1    McLeod, A.I.2
  • 195
    • 0000556059 scopus 로고
    • On the general bilinear time series model
    • Liu, J. and P. J. Brockwell, "On the general bilinear time series model," J. Appl. Probab., 25, 553-564, 1988.
    • (1988) J. Appl. Probab , vol.25 , pp. 553-564
    • Liu, J.1    Brockwell, P.J.2
  • 196
    • 84963159855 scopus 로고
    • Identification of multiple-input transfer function models,
    • Liu, L.-M. and D. M. Hanssens, "Identification of multiple-input transfer function models," Comm. Statist., A11, 297-314, 1982.
    • (1982) Comm. Statist , vol.A11 , pp. 297-314
    • Liu, L.-M.1    Hanssens, D.M.2
  • 197
    • 0009953010 scopus 로고
    • Diagnostic testing of univariate time series models
    • Ljung, G. M., "Diagnostic testing of univariate time series models," Biometrika, 73, 725-730, 1986.
    • (1986) Biometrika , vol.73 , pp. 725-730
    • Ljung, G.M.1
  • 198
    • 0000018727 scopus 로고
    • On outlier detection in time series,
    • Ljung, G. M., "On outlier detection in time series," J. Royal Statist. Soc., B55, 559-567, 1993.
    • (1993) J. Royal Statist. Soc , vol.B55 , pp. 559-567
    • Ljung, G.M.1
  • 199
    • 0017846358 scopus 로고
    • On a measure of lack of fit in time series models
    • Ljung G. M. and G. E. P. Box, "On a measure of lack of fit in time series models," Biometrika, 65, 297-303, 1978.
    • (1978) Biometrika , vol.65 , pp. 297-303
    • Ljung, G.M.1    Box, G.E.P.2
  • 200
    • 85042569734 scopus 로고
    • The likelihood function of stationary autoregressivemoving average models
    • Ljung G. M. and G. E. P. Box, "The likelihood function of stationary autoregressivemoving average models," Biometrika, 66, 265-270, 1979.
    • (1979) Biometrika , vol.66 , pp. 265-270
    • Ljung, G.M.1    Box, G.E.P.2
  • 201
  • 203
    • 0000894103 scopus 로고
    • Testing linearity against smooth transition autoregressive models
    • Luukkonen, R., P. Saikkonen, T. Terasvirta, "Testing linearity against smooth transition autoregressive models," Biometrika, 75, 491-499, 1988.
    • (1988) Biometrika , vol.75 , pp. 491-499
    • Luukkonen, R.1    Saikkonen, P.2    Terasvirta, T.3
  • 205
    • 0000429129 scopus 로고
    • On the statistical treatment of linear stochastic difference equations
    • Mann H. B. and A. Wald, "On the statistical treatment of linear stochastic difference equations," Econometrica, 11, 173-220, 1943.
    • (1943) Econometrica , vol.11 , pp. 173-220
    • Mann, H.B.1    Wald, A.2
  • 206
    • 0000169232 scopus 로고
    • An algorithm for least-squares estimation of nonlinear parameters
    • Marquardt, D. W., "An algorithm for least-squares estimation of nonlinear parameters," J. Soc. Ind. Appl. Math., 11, 431-441, 1963.
    • (1963) J. Soc. Ind. Appl. Math , vol.11 , pp. 431-441
    • Marquardt, D.W.1
  • 208
    • 84986777926 scopus 로고
    • Diagnostic checking ARMA time series models using squared-residual autocorrelations
    • McLeod A. I. and W. K. Li, "Diagnostic checking ARMA time series models using squared-residual autocorrelations," J. Time Ser. Anal., 4, 269-273, 1983.
    • (1983) J. Time Ser. Anal , vol.4 , pp. 269-273
    • McLeod, A.I.1    Li, W.K.2
  • 209
    • 0019240955 scopus 로고
    • Modeling and forecasting time series using transfer function and intervention methods
    • Montgomery D. C. and G. Weatherby, "Modeling and forecasting time series using transfer function and intervention methods," AIIE Trans., 289-307, 1980.
    • (1980) AIIE Trans , pp. 289-307
    • Montgomery, D.C.1    Weatherby, G.2
  • 210
    • 0009957132 scopus 로고
    • A proposal for residual autocorrelation test in linear models
    • Monti, A. C., "A proposal for residual autocorrelation test in linear models," Biometrika, 81, 776-780, 1994.
    • (1994) Biometrika , vol.81 , pp. 776-780
    • Monti, A.C.1
  • 211
    • 33645592143 scopus 로고
    • Some experiments on the prediction of sunspot numbers,
    • Moran, P. A. P., "Some experiments on the prediction of sunspot numbers," J. Royal Statist. Soc., B16, 112-117, 1954.
    • (1954) J. Royal Statist. Soc , vol.B16 , pp. 112-117
    • Moran, P.P.A.1
  • 212
    • 84947407492 scopus 로고
    • Optimal properties of exponentially weighted forecasts
    • Muth, J. F., "Optimal properties of exponentially weighted forecasts," J. Am. Statist. Assoc., 55, 299-306, 1960.
    • (1960) J. Am. Statist. Assoc , vol.55 , pp. 299-306
    • Muth, J.F.1
  • 213
    • 34548301161 scopus 로고
    • Bayesian estimation of Box-Jenkins transfer function-noise models,
    • Newbold, P., "Bayesian estimation of Box-Jenkins transfer function-noise models," J. Royal Statist. Soc., B35, 323-336, 1973.
    • (1973) J. Royal Statist. Soc , vol.B35 , pp. 323-336
    • Newbold, P.1
  • 214
    • 85041973854 scopus 로고
    • The exact likelihood function for a mixed autoregressive-moving average process
    • Newbold, P., "The exact likelihood function for a mixed autoregressive-moving average process," Biometrika, 61, 423-426, 1974.
    • (1974) Biometrika , vol.61 , pp. 423-426
    • Newbold, P.1
  • 215
    • 0345944612 scopus 로고
    • The equivalence of two tests of time series model adequacy
    • Newbold, P., "The equivalence of two tests of time series model adequacy," Biometrika, 67, 463-465, 1980.
    • (1980) Biometrika , vol.67 , pp. 463-465
    • Newbold, P.1
  • 216
    • 85042570420 scopus 로고
    • The exact likelihood function of multivariate autoregressive moving average models
    • Nicholls, D. F. and A. D. Hall, "The exact likelihood function of multivariate autoregressive moving average models," Biometrika, 66, 259-264, 1979.
    • (1979) Biometrika , vol.66 , pp. 259-264
    • Nicholls, D.F.1    Hall, A.D.2
  • 217
    • 0003210763 scopus 로고
    • Random Coefficient Autoregressive Models: An Introduction
    • Springer, New York
    • Nicholls D. F. and B. G. Quinn, Random Coefficient Autoregressive Models: An Introduction, Lecture Notes in Statistics, 11, Springer, New York, 1982.
    • (1982) Lecture Notes in Statistics , vol.11
    • Nicholls, D.F.1    Quinn, B.G.2
  • 219
    • 84910968617 scopus 로고
    • On the criteria functions used for the estimation of moving average processes
    • Osborn, D. R., "On the criteria functions used for the estimation of moving average processes," J. Am. Statist. Assoc., 77, 388-392, 1982.
    • (1982) J. Am. Statist. Assoc , vol.77 , pp. 388-392
    • Osborn, D.R.1
  • 220
    • 85023784317 scopus 로고
    • Digital computer controls paper machine
    • Oughton, K. D., "Digital computer controls paper machine," Ind. Electron., 3, 358-362, 1965.
    • (1965) Ind. Electron , vol.3 , pp. 358-362
    • Oughton, K.D.1
  • 221
    • 0012316965 scopus 로고
    • On problems in which a change in a parameter occurs at an unknown point
    • Page, E. S., "On problems in which a change in a parameter occurs at an unknown point," Biometrika, 44, 248-252, 1957.
    • (1957) Biometrika , vol.44 , pp. 248-252
    • Page, E.S.1
  • 222
    • 84946649363 scopus 로고
    • Cumulative sum charts
    • Page, E. S., "Cumulative sum charts," Technometrics, 3, 1-9, 1961.
    • (1961) Technometrics , vol.3 , pp. 1-9
    • Page, E.S.1
  • 225
    • 0035998832 scopus 로고    scopus 로고
    • A powerful portmanteau test of lack of fit for time series
    • Pena, D. and J. Rodriguez, "A powerful portmanteau test of lack of fit for time series," J. Am. Statist. Assoc., 97, 601-610.
    • J. Am. Statist. Assoc , vol.97 , pp. 601-610
    • Pena, D.1    Rodriguez, J.2
  • 226
    • 0001146404 scopus 로고
    • A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
    • Petruccelli, J. and N. Davies, "A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series," Biometrika, 73, 687-694, 1986.
    • (1986) Biometrika , vol.73 , pp. 687-694
    • Petruccelli, J.1    Davies, N.2
  • 227
    • 0000308535 scopus 로고
    • Time series regression with a unit root
    • Phillips, P. C. B., "Time series regression with a unit root," Econometrica, 55, 277-301, 1987.
    • (1987) Econometrica , vol.55 , pp. 277-301
    • Phillips, B.P.C.1
  • 228
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. C. B. and P. Perron, "Testing for a unit root in time series regression," Biometrika, 75, 335-346, 1988.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 229
    • 0343015613 scopus 로고
    • Least squares estimation in dynamic-disturbance time series models
    • Pierce, D. A., "Least squares estimation in dynamic-disturbance time series models," Biometrika, 59, 73-78, 1972.
    • (1972) Biometrika , vol.59 , pp. 73-78
    • Pierce, D.A.1
  • 230
    • 0041044292 scopus 로고
    • Residual correlations and diagnostic checking in dynamic-disturbance time series models
    • Pierce, D. A., "Residual correlations and diagnostic checking in dynamic-disturbance time series models," J. Am. Statist. Assoc., 67, 636-640, 1972.
    • (1972) J. Am. Statist. Assoc , vol.67 , pp. 636-640
    • Pierce, D.A.1
  • 232
    • 0042668156 scopus 로고
    • Testing the specification of a fitted autoregressivemoving average model
    • Poskitt, D. S. and A. R. Tremayne, "Testing the specification of a fitted autoregressivemoving average model," Biometrika, 67, 359-363, 1980.
    • (1980) Biometrika , vol.67 , pp. 359-363
    • Poskitt, D.S.1    Tremayne, A.R.2
  • 233
    • 0040119517 scopus 로고
    • An approach to testing linear time series models
    • Poskitt D. S. and A. R. Tremayne, "An approach to testing linear time series models," Ann. Statist., 9, 974-986, 1981.
    • (1981) Ann. Statist , vol.9 , pp. 974-986
    • Poskitt, D.S.1    Tremayne, A.R.2
  • 234
    • 0346758701 scopus 로고
    • Diagnostic tests for multiple time series models
    • Poskitt, D. S. and A. R. Tremayne, "Diagnostic tests for multiple time series models," Ann. Statist., 10, 114-120, 1982.
    • (1982) Ann. Statist , vol.10 , pp. 114-120
    • Poskitt, D.S.1    Tremayne, A.R.2
  • 235
    • 84986817195 scopus 로고
    • State-dependent models: A general approach to non-linear time series analysis
    • Priestley, M. B., "State-dependent models: A general approach to non-linear time series analysis," J. Time Ser. Anal., 1, 47-71, 1980.
    • (1980) J. Time Ser. Anal , vol.1 , pp. 47-71
    • Priestley, M.B.1
  • 238
    • 0002718318 scopus 로고
    • Approximate tests of correlation in time-series,
    • Quenouille, M. H., "Approximate tests of correlation in time-series," J. Royal Statist. Soc., B11, 68-84, 1949.
    • (1949) J. Royal Statist. Soc , vol.B11 , pp. 68-84
    • Quenouille, M.H.1
  • 241
    • 0001192784 scopus 로고
    • Order determination for a multivariate autoregression,
    • Quinn, B. G., "Order determination for a multivariate autoregression," J. Royal Statist. Soc., B42, 182-185, 1980.
    • (1980) J. Royal Statist. Soc , vol.B42 , pp. 182-185
    • Quinn, B.G.1
  • 243
    • 84980116046 scopus 로고
    • On the variate difference method
    • Rao, J. N. K. and G. Tintner, "On the variate difference method," Aust. J. Statist., 5, 106-116, 1963.
    • (1963) Aust. J. Statist , vol.5 , pp. 106-116
    • Rao, J.N.K.1    Tintner, G.2
  • 244
    • 0344497827 scopus 로고
    • Maximum likelihood estimation of stochastic linear difference equations with autoregressive moving average errors
    • Reinsel, G., "Maximum likelihood estimation of stochastic linear difference equations with autoregressive moving average errors," Econometrica, 47, 129-151, 1979.
    • (1979) Econometrica , vol.47 , pp. 129-151
    • Reinsel, G.1
  • 246
    • 84981477914 scopus 로고
    • Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio test, and forecasting
    • Reinsel, G. C. and S. K. Ahn, "Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio test, and forecasting," J. Time Ser. Anal., 13, 353-375, 1992.
    • (1992) J. Time Ser. Anal , vol.13 , pp. 353-375
    • Reinsel, G.C.1    Ahn, S.K.2
  • 247
    • 0002688575 scopus 로고
    • Impact of chlorofluoromethanes on stratospheric ozone: A statistical analysis of ozone data for trends
    • Reinsel, G. C. and G. C. Tiao, "Impact of chlorofluoromethanes on stratospheric ozone: A statistical analysis of ozone data for trends," J. Am. Statist. Assoc., 82, 20-30, 1987.
    • (1987) J. Am. Statist. Assoc , vol.82 , pp. 20-30
    • Reinsel, G.C.1    Tiao, G.C.2
  • 248
    • 2342517596 scopus 로고
    • Asymptotic distribution of parameter estimators for nonconsecutively observed time series
    • Reinsel, G. C. and M. A. Wincek, "Asymptotic distribution of parameter estimators for nonconsecutively observed time series," Biometrika, 74, 115-124, 1987.
    • (1987) Biometrika , vol.74 , pp. 115-124
    • Reinsel, G.C.1    Wincek, M.A.2
  • 250
    • 84946637626 scopus 로고
    • Control chart tests based on geometric moving averages
    • Roberts, S. W., "Control chart tests based on geometric moving averages," Technometrics, 1, 239-250, 1959.
    • (1959) Technometrics , vol.1 , pp. 239-250
    • Roberts, S.W.1
  • 252
    • 19044371729 scopus 로고
    • Testing for unit roots in autoregressive-moving average models of unknown order
    • Said, S. E. and D. A. Dickey, "Testing for unit roots in autoregressive-moving average models of unknown order," Biometrika, 71, 599-607, 1984.
    • (1984) Biometrika , vol.71 , pp. 599-607
    • Said, S.E.1    Dickey, D.A.2
  • 253
    • 0002189131 scopus 로고
    • Hypothesis testing in ARIMA(p,1,q) models
    • Said, S. E. and D. A. Dickey, "Hypothesis testing in ARIMA(p,1,q) models," J. Am. Statist. Assoc., 80, 369-374, 1985.
    • (1985) J. Am. Statist. Assoc , vol.80 , pp. 369-374
    • Said, S.E.1    Dickey, D.A.2
  • 254
    • 84950451183 scopus 로고
    • Testing for a moving average unit root in autoregressive integrated moving average models
    • Saikkonen, P. and R. Luukkonen, "Testing for a moving average unit root in autoregressive integrated moving average models," J. Am. Statist. Assoc., 88, 596-601, 1993.
    • (1993) J. Am. Statist. Assoc , vol.88 , pp. 596-601
    • Saikkonen, P.1    Luukkonen, R.2
  • 256
    • 84981594177 scopus 로고
    • LM tests for a unit root in the presence of deterministic trends
    • Schmidt, P. and P. C. B. Phillips, "LM tests for a unit root in the presence of deterministic trends," Oxford Bull. Econ. Statist., 54, 257-287, 1992.
    • (1992) Oxford Bull. Econ. Statist , vol.54 , pp. 257-287
    • Schmidt, P.1    Phillips, P.C.B.2
  • 257
    • 0003048386 scopus 로고
    • On the investigation of hidden periodicities
    • Schuster, A., "On the investigation of hidden periodicities," Terr. Mag. Atmos. Elect., 3, 13-41, 1898.
    • (1898) Terr. Mag. Atmos. Elect , vol.3 , pp. 13-41
    • Schuster, A.1
  • 258
    • 0039842872 scopus 로고
    • On the periodicities of sunspots,
    • Schuster, A., "On the periodicities of sunspots," Philos. Trans. Royal Soc., A206, 69-100, 1906.
    • (1906) Philos. Trans. Royal Soc , vol.A206 , pp. 69-100
    • Schuster, A.1
  • 259
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, G., "Estimating the dimension of a model," Ann. Statist., 6, 461-464, 1978.
    • (1978) Ann. Statist , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 260
    • 84986753410 scopus 로고
    • Estimation of multivariate time series
    • Shea, B. L., "Estimation of multivariate time series," J. Time Ser. Anal., 8, 95-109, 1987.
    • (1987) J. Time Ser. Anal , vol.8 , pp. 95-109
    • Shea, B.L.1
  • 262
    • 0013019055 scopus 로고    scopus 로고
    • Unit root tests based on unconditional maximum likelihood estimation for the autoregressive moving average
    • Shin D. W. and W. A. Fuller, "Unit root tests based on unconditional maximum likelihood estimation for the autoregressive moving average," J. Time Ser. Anal., 19, 591-599, 1998.
    • (1998) J. Time Ser. Anal , vol.19 , pp. 591-599
    • Shin, D.W.1    Fuller, W.A.2
  • 263
    • 85023784631 scopus 로고
    • ICI Monograph , Oliver & Boyd, Edinburgh
    • Short Term Forecasting, ICI Monograph 2, Oliver & Boyd, Edinburgh, 1964.
    • (1964) Short Term Forecasting , vol.2
  • 264
    • 0001652862 scopus 로고
    • The Lagrangian multiplier test
    • Silvey, S. D., "The Lagrangian multiplier test," Ann. Math. Statist., 30, 389-407, 1959.
    • (1959) Ann. Math. Statist , vol.30 , pp. 389-407
    • Silvey, S.D.1
  • 265
    • 0000641465 scopus 로고
    • The summation of random causes as the source of cyclic processes
    • English trans., Econometrica, 5 , 1937
    • Slutsky, E., "The summation of random causes as the source of cyclic processes," (Russian), Problems Econom. Conditions, 3, 1, 1927; English trans., Econometrica, 5, 105-146, 1937.
    • (1927) Problems Econom. Conditions , vol.3 , pp. 105-146
    • Slutsky, E.1
  • 266
    • 33646554424 scopus 로고
    • The exact likelihood for a multivariate ARMA model
    • Solo, V. "The exact likelihood for a multivariate ARMA model," J. Multivariate Anal., 15, 164-173, 1984.
    • (1984) J. Multivariate Anal , vol.15 , pp. 164-173
    • Solo, V.1
  • 267
    • 0011407778 scopus 로고
    • The order of differencing in ARIMA models
    • Solo, V., "The order of differencing in ARIMA models," J. Am. Statist. Assoc., 79, 916-921, 1984.
    • (1984) J. Am. Statist. Assoc , vol.79 , pp. 916-921
    • Solo, V.1
  • 268
    • 44049114907 scopus 로고
    • Maximum likelihood estimation of stationary univariate fractionally integrated time series models
    • Sowell, F., "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," J. Economet., 53, 165-188, 1992.
    • (1992) J. Economet , vol.53 , pp. 165-188
    • Sowell, F.1
  • 269
    • 84901268748 scopus 로고
    • Note on searching for periodicities
    • Stokes, G. G., "Note on searching for periodicities," Proc. Royal Soc., 29, 122-123, 1879.
    • (1879) Proc. Royal Soc , vol.29 , pp. 122-123
    • Stokes, G.G.1
  • 270
    • 0042037222 scopus 로고
    • Lower Order Autoregressive-Moving Average Stochastic Models and Their Use for the Characterization of Abrasive Cutting Tools
    • Ph.D. Thesis, University of Wisconsin-Madison
    • Stralkowski, C. M., Lower Order Autoregressive-Moving Average Stochastic Models and Their Use for the Characterization of Abrasive Cutting Tools, Ph.D. Thesis, University of Wisconsin-Madison, 1968.
    • (1968)
    • Stralkowski, C.M.1
  • 271
    • 0000366506 scopus 로고
    • On the theory of bilinear models,
    • Subba Rao, T., "On the theory of bilinear models," J. Royal Statist. Soc., B43, 244-255, 1981.
    • (1981) J. Royal Statist. Soc , vol.B43 , pp. 244-255
    • Subba Rao, T.1
  • 272
    • 84986811816 scopus 로고
    • A test for nonlinearity of stationary time series
    • Subba Rao, T. and M. M. Gabr, "A test for nonlinearity of stationary time series," J. Time Ser. Anal., 1, 145-158, 1980.
    • (1980) J. Time Ser. Anal , vol.1 , pp. 145-158
    • Subba Rao, T.1    Gabr, M.M.2
  • 274
    • 0031493579 scopus 로고    scopus 로고
    • Tests for seasonal moving average unit root in ARIMA models
    • Tam, W. K. and G. C. Reinsel, "Tests for seasonal moving average unit root in ARIMA models," J. Am. Statist. Assoc., 92, 725-738, 1997.
    • (1997) J. Am. Statist. Assoc , vol.92 , pp. 725-738
    • Tam, W.K.1    Reinsel, G.C.2
  • 275
    • 0142241895 scopus 로고    scopus 로고
    • Seasonal moving-average unit root tests in the presence of a linear trend
    • Tam, W. K. and G. C. Reinsel, "Seasonal moving-average unit root tests in the presence of a linear trend," J. Time Ser. Anal., 19, 609-625, 1998.
    • (1998) J. Time Ser. Anal , vol.19 , pp. 609-625
    • Tam, W.K.1    Reinsel, G.C.2
  • 276
    • 84923053681 scopus 로고
    • Specification, estimation, and evaluation of smooth transition autoregressive models
    • Terasvirta T., "Specification, estimation, and evaluation of smooth transition autoregressive models," J. Am. Statist. Assoc., 89, 208-218, 1994.
    • (1994) J. Am. Statist. Assoc , vol.89 , pp. 208-218
    • Terasvirta, T.1
  • 277
    • 0000857425 scopus 로고
    • Analysis of telephone data: A case study of forecasting seasonal time series
    • Thompson H. E. and G. C. Tiao, "Analysis of telephone data: A case study of forecasting seasonal time series," Bell J. Econom. Manage. Sci., 2, 515-541, 1971.
    • (1971) Bell J. Econom. Manage. Sci , vol.2 , pp. 515-541
    • Thompson, H.E.1    Tiao, G.C.2
  • 278
    • 84950945695 scopus 로고
    • Modeling multiple time series with applications
    • Tiao G. C. and G. E. P. Box, "Modeling multiple time series with applications," J. Am. Statist. Assoc., 76, 802-816, 1981.
    • (1981) J. Am. Statist. Assoc , vol.76 , pp. 802-816
    • Tiao, G.C.1    Box, G.E.P.2
  • 279
    • 0016476692 scopus 로고
    • Analysis of Los Angeles photochemical smog data: A statistical overview
    • Tiao, G. C., G. E. P. Box, andW. J. Hamming, "Analysis of Los Angeles photochemical smog data: A statistical overview," J. Air Pollut. Control Assoc., 25, 260-268, 1975.
    • (1975) J. Air Pollut. Control Assoc , vol.25 , pp. 260-268
    • Tiao, G.C.1    Box, G.E.P.2    Hamming, W.J.3
  • 280
    • 0000057284 scopus 로고
    • Model specification in multivariate time series (with discussion),
    • Tiao, G. C. and R. S. Tsay, "Model specification in multivariate time series (with discussion)," J. Royal Statist. Soc., B51, 157-213, 1989.
    • (1989) J. Royal Statist. Soc , vol.B51 , pp. 157-213
    • Tiao, G.C.1    Tsay, R.S.2
  • 284
    • 0000003175 scopus 로고
    • Threshold autoregression, limit cycles, and cyclical data (with discussion),
    • Tong, H. and K. S. Lim, "Threshold autoregression, limit cycles, and cyclical data (with discussion)," J. Royal Statist. Soc., B42, 245-292, 1980.
    • (1980) J. Royal Statist. Soc , vol.B42 , pp. 245-292
    • Tong, H.1    Lim, K.S.2
  • 285
    • 0001146403 scopus 로고
    • Nonlinearity tests for time series
    • Tsay, R. S., "Nonlinearity tests for time series," Biometrika, 73, 461-466, 1986.
    • (1986) Biometrika , vol.73 , pp. 461-466
    • Tsay, R.S.1
  • 286
    • 0000875323 scopus 로고
    • Time series model specification in the presence of outliers
    • Tsay, R. S., "Time series model specification in the presence of outliers," J. Am. Statist. Assoc., 81, 132-141, 1986.
    • (1986) J. Am. Statist. Assoc , vol.81 , pp. 132-141
    • Tsay, R.S.1
  • 287
    • 0000762810 scopus 로고
    • Conditional heteroskedastic time series models
    • Tsay, R. S., "Conditional heteroskedastic time series models," J. Am. Statist. Assoc., 82, 590-604, 1987.
    • (1987) J. Am. Statist. Assoc , vol.82 , pp. 590-604
    • Tsay, R.S.1
  • 288
    • 84944452417 scopus 로고
    • Outliers, level shifts, and variance changes in time series
    • Tsay, R. S., "Outliers, level shifts, and variance changes in time series," J. Forecasting, 7, 1-20, 1988.
    • (1988) J. Forecasting , vol.7 , pp. 1-20
    • Tsay, R.S.1
  • 289
    • 84981426453 scopus 로고
    • Identifying multivariate time series models
    • Tsay, R. S., "Identifying multivariate time series models," J. Time Ser. Anal., 10, 357-372, 1989.
    • (1989) J. Time Ser. Anal , vol.10 , pp. 357-372
    • Tsay, R.S.1
  • 290
    • 84950428199 scopus 로고
    • Testing and modeling threshold autoregressive processes
    • Tsay, R. S., "Testing and modeling threshold autoregressive processes," J. Am. Statist. Assoc., 84, 231-240, 1989.
    • (1989) J. Am. Statist. Assoc , vol.84 , pp. 231-240
    • Tsay, R.S.1
  • 291
    • 84950444719 scopus 로고
    • Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models
    • Tsay, R. S. and G. C. Tiao, "Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models," J. Am. Statist. Assoc., 79, 84-96, 1984.
    • (1984) J. Am. Statist. Assoc , vol.79 , pp. 84-96
    • Tsay, R.S.1    Tiao, G.C.2
  • 292
    • 0000305915 scopus 로고
    • Use of canonical analysis in time series model identification
    • Tsay, R. S. and G. C. Tiao, "Use of canonical analysis in time series model identification," Biometrika, 72, 299-315, 1985.
    • (1985) Biometrika , vol.72 , pp. 299-315
    • Tsay, R.S.1    Tiao, G.C.2
  • 293
    • 0001318699 scopus 로고
    • Bilinear Markovian representation and bilinear models
    • Tuan, Pham-Dinh, "Bilinear Markovian representation and bilinear models," Stoch. Process. Their. Appl., 20, 295-306, 1985.
    • (1985) Stoch. Process. Their. Appl , vol.20 , pp. 295-306
    • Tuan, P.-D.1
  • 294
    • 0001703939 scopus 로고
    • The mixing property of bilinear and generalized random coefficient autoregressive models
    • Tuan, Pham-Dinh, "The mixing property of bilinear and generalized random coefficient autoregressive models," Stoch. Process. Their. Appli., 21, 291-300, 1986.
    • (1986) Stoch. Process. Their. Appli , vol.21 , pp. 291-300
    • Tuan, P.-D.1
  • 295
    • 84946657066 scopus 로고
    • Discussion, emphasizing the connection between analysis of variance and spectrum analysis
    • Tukey, J. W., "Discussion, emphasizing the connection between analysis of variance and spectrum analysis," Technometrics, 3, 191-219, 1961.
    • (1961) Technometrics , vol.3 , pp. 191-219
    • Tukey, J.W.1
  • 296
    • 0003048016 scopus 로고
    • On the use of marginal likelihood in time series model estimation,
    • Tunnicliffe Wilson G., "On the use of marginal likelihood in time series model estimation," J. Royal Statist. Soc., B51, 15-27, 1989.
    • (1989) J. Royal Statist. Soc , vol.B51 , pp. 15-27
    • Tunnicliffe Wilson, G.1
  • 297
    • 0011540795 scopus 로고
    • Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
    • Walker, A. M., "Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series," J. Aust. Math. Soc., 4, 363-384, 1964.
    • (1964) J. Aust. Math. Soc , vol.4 , pp. 363-384
    • Walker, A.M.1
  • 298
    • 0001189477 scopus 로고
    • On periodicity in series of related terms,
    • Walker, G., "On periodicity in series of related terms," Proc. Royal Soc., A131, 518-532, 1931.
    • (1931) Proc. Royal Soc , vol.A131 , pp. 518-532
    • Walker, G.1
  • 299
    • 84986767536 scopus 로고
    • ARMA models with ARCH errors
    • Weiss, A. A., "ARMA models with ARCH errors," J. Time Ser. Anal., 5, 129-143, 1984.
    • (1984) J. Time Ser. Anal , vol.5 , pp. 129-143
    • Weiss, A.A.1
  • 300
    • 0000751392 scopus 로고
    • Estimation and information in stationary time series
    • Whittle, P., "Estimation and information in stationary time series", Ark. Math., 2, 423-434, 1953.
    • (1953) Ark. Math , vol.2 , pp. 423-434
    • Whittle, P.1
  • 303
    • 85041933046 scopus 로고
    • The behaviour of the sample autocorrelation function for an integrated moving average process
    • Wichern, D. W., "The behaviour of the sample autocorrelation function for an integrated moving average process," Biometrika, 60, 235-239, 1973.
    • (1973) Biometrika , vol.60 , pp. 235-239
    • Wichern, D.W.1
  • 304
    • 0041484496 scopus 로고
    • Interpolation and Smoothing of Stationary Time Series, Wiley, New York
    • Wiener, N., Extrapolation, Interpolation and Smoothing of Stationary Time Series, Wiley, New York, 1949.
    • (1949) Extrapolation
    • Wiener, N.1
  • 306
    • 0002563259 scopus 로고
    • Factorization of the covariance generating function of a pure moving average process
    • Wilson, G., "Factorization of the covariance generating function of a pure moving average process," SIAM J. Numer. Anal., 6, 1-7, 1969.
    • (1969) SIAM J. Numer. Anal , vol.6 , pp. 1-7
    • Wilson, G.1
  • 307
    • 85023785648 scopus 로고
    • Optimal control: A general method of obtaining the feedback scheme which minimizes the output variance, subject to a constraint on the variability of the control variable
    • Technical Report 20, Department of Systems Engineering, University of Lancaster, Lancaster, UK
    • Wilson, G. T., "Optimal control: A general method of obtaining the feedback scheme which minimizes the output variance, subject to a constraint on the variability of the control variable," Technical Report 20, Department of Systems Engineering, University of Lancaster, Lancaster, UK, 1970.
    • (1970)
    • Wilson, G.T.1
  • 308
    • 84872140994 scopus 로고
    • University of Lancaster, UK
    • Wilson, G. T., Ph.D Thesis, University of Lancaster, UK, 1970.
    • (1970) Ph.D Thesis
    • Wilson, G.T.1
  • 309
    • 0009689816 scopus 로고
    • An exact maximum likelihood estimation procedure for regression-ARMA time series models with possibly nonconsecutive data,
    • Wincek M. A. and G. C. Reinsel, "An exact maximum likelihood estimation procedure for regression-ARMA time series models with possibly nonconsecutive data," J. Royal Statist. Soc., B48, 303-313, 1986.
    • (1986) J. Royal Statist. Soc , vol.B48 , pp. 303-313
    • Wincek, M.A.1    Reinsel, G.C.2
  • 310
    • 0000082693 scopus 로고
    • Forecasting sales by exponentially weighted moving averages
    • Winters, P. R., "Forecasting sales by exponentially weighted moving averages," Manage. Sci., 6, 324-342, 1960.
    • (1960) Manage. Sci , vol.6 , pp. 324-342
    • Winters, P.R.1
  • 312
    • 0011046911 scopus 로고
    • On the relationship between the S array and the Box-Jenkins method of ARMA model identification
    • Woodward, W. A., and H. L. Gray, "On the relationship between the S array and the Box-Jenkins method of ARMA model identification," J. Am. Statist. Assoc., 76, 579-587, 1981.
    • (1981) J. Am. Statist. Assoc , vol.76 , pp. 579-587
    • Woodward, W.A.1    Gray, H.L.2
  • 313
    • 0141775244 scopus 로고
    • The correlation theory of processes whose nth difference constitute a stationary process,
    • Yaglom, A. M., "The correlation theory of processes whose nth difference constitute a stationary process," Mat. Sb., 37(79), 141, 1955.
    • (1955) Mat. Sb , vol.37 , Issue.79 , pp. 141
    • Yaglom, A.M.1
  • 314
    • 0000946416 scopus 로고
    • Asymptotic mean square prediction error for an autoregressive model with estimated coefficients
    • Yamamoto, T., "Asymptotic mean square prediction error for an autoregressive model with estimated coefficients," Appl. Statist., 25, 123-127, 1976.
    • (1976) Appl. Statist , vol.25 , pp. 123-127
    • Yamamoto, T.1
  • 315
    • 0000561661 scopus 로고
    • Results on estimation and testing for a unit root in the nonstationary autoregressive moving-average model
    • Yap S. F. and G. C. Reinsel, "Results on estimation and testing for a unit root in the nonstationary autoregressive moving-average model," J. Time Ser. Anal., 16, 339-353, 1995.
    • (1995) J. Time Ser. Anal , vol.16 , pp. 339-353
    • Yap, S.F.1    Reinsel, G.C.2
  • 317
    • 0001634204 scopus 로고
    • On a method of investigating periodicities in disturbed series, with special reference to Wolfer's sunspot numbers,
    • Yule, G. U., "On a method of investigating periodicities in disturbed series, with special reference to Wolfer's sunspot numbers," Philos. Trans. Royal Soc., A226, 267-298, 1927.
    • (1927) Philos. Trans. Royal Soc , vol.A226 , pp. 267-298
    • Yule, G.U.1
  • 318
    • 0001550221 scopus 로고
    • An extension of Wiener's theory of prediction
    • Zadeh L. A. and J. R. Ragazzini, "An extension of Wiener's theory of prediction," J. Appl. Phys., 21, 645, 1950.
    • (1950) J. Appl. Phys , vol.21 , pp. 645
    • Zadeh, L.A.1    Ragazzini, J.R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.