Estimation of the ARMAX Model Using Two Nonparametric Methods: Local Linear Regression and Wavelet Estimation
DOI:
https://doi.org/10.31272/jae.i151.1549Keywords:
ARMAX Models, Autoregression, Moving Average, Local Linear Regression, Wavelet EstimationAbstract
Autoregressive Moving Average models with Exogenous input (ARMAX) are among with commonly used models for describing the dynamic behavior of time series influenced by external variables. In these models, the (AR) component represents the
Autoregressive part related to past values of the series, while the (MA) component reflects the moving – average structure associated with the stochastic error terms. The (X) component, on the other hand, denotes the exogenous part corresponding to the external input series. Accordingly, ARMAX models capture both the deterministic components and the stochastic components of the time series.
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