ARIMAX Type Time Series Models in Stochastic Control System and Macroeconometric Models
HAJIME MYOKEN, Shin-ichi Kamiyama, Yukio Uchida, Kanji Kojima · Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications · 1994
The purpose of this paper is to propose a comprehensive design procedure for the ARIMAX type time series model including Box-Jenkins type mixed time series model. The design procedure contains various algorithms which may be useful for systematic time series model building, especially an effective algorithm to set up initial values for nonlinear optimization which is indispensable to the parameter estimation of time series model including MA part is given. Finally, using practical sales and advertising data of two companies, the effectiveness of the design procedure proposed in this paper is shown.