MODELING AND FORECASTING TIME SERIES USING TRANSFER FUNCTION AND INTERVENTION METHODS.

This study serves as an introduction to the identification, estimation, and diagnostic checking of these models. Some aspects of forecasting with transfer function models are also discussed. A survey of intervention analysis models in which the input series is an indicator variable corresponding to an isolated event thought to influence the output is also given. Familiarity with univeriate autoregressive integrated moving average modeling is assumed. Extensions to more general multiple time series analysis methods are also briefly discussed. This work is applicable to modeling and forecasting economic time series and process and quality control.