Parameter estimation

15 Novembro 2011, 10:00 • João Andrade e Silva

Maximum likelihood estimation

    Complete individual data

    Grouped data

     Censored and/or truncated information

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Forecasting with ARIMA models

10 Novembro 2011, 12:00 • ANTÓNIO DA ASCENSÃO COSTA

4.5 Model building

4.5.3 Model diagnostics: tests on residuals (final remarks)

4.6 Forecasting with ARIMA models

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Estimation for modified data 2/2 Parameter estimation 1/2

8 Novembro 2011, 10:00 • João Andrade e Silva

Estimation for modified data

      log-transformed confidence intervals for S(t)

      confidence intervals for H(t)

      log-transformed confidence intervals for H(t)

 

Parameter estimation

     Method of moments

     Method of percentiles matching

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Model building

3 Novembro 2011, 12:00 • ANTÓNIO DA ASCENSÃO COSTA

4.5   Model building

4.5.1           Model identification: producing stationarity; using sample ACF and PACF to choose a model

4.5.2           Model   estimation: notes on estimation methods; parameter evaluation

4.5.3           Model diagnostics: tests on residuals

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Probabilistic models -3

27 Outubro 2011, 12:00 • ANTÓNIO DA ASCENSÃO COSTA

4.4   ARIMA and seasonal ARIMA models

4.4 .1           Models for non stationary time series; ARIMA(p,d,q) models

4.4 .2           Modeling seasonality: ARIMA(p,d,q)(P,D,Q)s models

 

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