Volume : IV, Issue : VIII, August - 2014

Weighted Average ARMA Model

P. Ramakrishna Reddy, B. Sarojamma

Abstract :

In the present study, we divided the data into two parts, for each set of data we have fitted suitable ARMA model. By using these ARMA models we fitted Weighted Average ARMA (WARMA) model for part I & part II separately. WARMA model is compared with ARMA (3, 2) model by using Mean Square Error (MSE) criteria. MSE criteria is used for choosing best model between the two models, Theil’s U–Statistic is used for testing accuracy of models and Kolmogrov–Smirnov (K–S) test is used for goodness of fit.

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

P. Ramakrishna Reddy, B. Sarojamma Weighted Average ARMA Model Indian Journal of Applied Research, Vol.4, Issue.8 August 2014

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