time series

This paper outlines how the stationary ARMA(p,q) model can be specified as a structural equations model. Maximum likelihood estimates for the parameters in the ARMA model can be obtained by software for fitting structural equation models. For pure AR …

This paper describes a method for finding optimal transformations for analyzing time series by autoregressive models. `Optimal' implies that the agreement between the autoregressive model and the transformed data is maximal. Such transformations help …