References

Box, G.E.P. and Jenkins, G.M. (1976), Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day.

Box, G.E.P., Jenkins, G.M., and Reinsel, G.C. (1994), Time Series Analysis: Forecasting and Control, Third Edition, Englewood Cliffs, NJ: Prentice Hall, 197–199.

Choi, ByoungSeon (1992), ARMA Model Identification, New York: Springer-Verlag, 129–132.

Cobb, G.W. (1978), "The Problem of the Nile: Conditional Solution to a Change Point Problem," Biometrika, 65, 243–251.

Dickey, D.A., and Fuller, W.A. (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74 (366), 427–431.

Dickey, D.A., Hasza, D.P., and Fuller, W.A. (1984), "Testing for Unit Roots in Seasonal Time Series," Journal of the American Statistical Association, 79 (386), 355–367.

Durbin, J. and Koopman, S.J. (2001), Time Series Analysis by State Space Methods, Oxford: Oxford University Press.

Harvey, A.C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge: Cambridge University Press.

Harvey, A.C. (2001), "Testing in Unobserved Components Models," Journal of Forecasting, 20, 1–19.

Hasza, D.P. and Fuller, W.A. (1979), "Estimation for Autoregressive Processes with Unit Roots," The Annals of Statistics, 7, 1106–1120.

Hasza, D.P., and Fuller, W.A. (1984), "Testing for Nonstationary Parameter Specifications in Seasonal Time Series Models," The Annals of Statistics, 10, 1209–1216.

Hillmer, S.C., Larcker, D.F., and Schroeder, D.A. (1983), "Forecasting Accounting Data: A Multiple Time-Series Analysis," Journal of Forecasting, 2, 389–404.

de Jong, P. and Penzer, J. (1998), "Diagnosing Shocks in Time Series," Journal of the American Statistical Association, Vol. 93, No. 442.

McKenzie, Ed (1984). "General Exponential Smoothing and the Equivalent ARMA Process," Journal of Forecasting, 3, 333–344.

Tsay, R.S. and Tiao, G.C. (1984), "Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models," Journal of the American Statistical Association, 79 (385), 84–96.