Journal of the military operations research society of Korea (한국국방경영분석학회지)
- Volume 8 Issue 1
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- Pages.71-76
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- 1982
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- 1229-9898(pISSN)
Combining Regression Model and Time Series Model to a Set of Autocorrelated Data
Abstract
A procedure is established for combining a regression model and a time series model to fit to a set of autocorrelated data. This procedure is based on an iterative method to compute regression parameter estimates and time series parameter estimates simultaneously. The time series model which is discussed is basically AR(p) model, since MA(q) model or ARMA(p,q) model can be inverted to AR({
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