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Automatic Modeling Methods for Univariate Series

Author

Listed:
  • Víctor Gómez
  • Agustín Maravall

Abstract

In this article, a unified approach to automatic modeling for univariate series is presented. First, ARIMA models and the classical methods for fitting these models to a given time series are reviewed. Second, some objective methods for model identification are considered and some algorithmical procedures for automatic model identification are described. Third, outliers are incorporated into the model and an algorithm, for automatic model identification in the presence of outliers is proposed.

Suggested Citation

  • Víctor Gómez & Agustín Maravall, 1998. "Automatic Modeling Methods for Univariate Series," Working Papers 9808, Banco de España.
    • Handle: RePEc:bde:wpaper:9808
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    Keywords

    MODELS ; TIME SERIES;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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