Identification State Space models and some Time Series models | ||
| IRAQI JOURNAL OF STATISTICAL SCIENCES | ||
| Article 4, Volume 18, Issue 1, June 2021, Pages 30-37 PDF (1.92 M) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/iqjoss.2021.168374 | ||
| Authors | ||
| Zeina Assem* 1; heyam Abdel Majeed Hayawi2 | ||
| 1Department of Statistics and Informatics, Faculty of Computer Science and Mathematics, Mosul, Iraq | ||
| 2Dept. of Statistics and Informatics/ college of Computer and Mathematics/University of Mosul | ||
| Abstract | ||
| Abstract In this research, a comparison of the identification process for time series models represented by ARIMA models was studied by identification several models and choosing the best model based on some statistical criteria and one of the dynamic models represented by state space models was through identification several models with different ranks and choosing the best model based on statistical criteria. On data handled by Box & Jinkins researchers, namely, is the input variable and represents the leading indicator, and represents the output variable, which refers to sales, and includes 150 pairs of inputs and outputs. Time frame, depending on statistical criteria. | ||
Highlights | ||
1. It became clear through working on the data of this research that the used time series is unstable and has reached stability after taking the first normal difference for it. 2. The ARIMA (1,1,1) model is the best time series model for data representation, as it gave the least value for the statistical criteria. 3. The fifth-order case space model is the best model obtained from the data represented by the leading indicator and sales used by the two scientists Box-Jenkins, as it gave the lowest values for some statistical criteria. 4. Through the comparison between the values of the criteria for the time series and the values of the criteria for the case space models, it was found that the analysis of the case space for the data is better than the analysis of the time series for the data itself. | ||
| Keywords | ||
| Time Series; Dynamic System; Statistical Criterion | ||
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| References | ||
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