Abstract
A nonparametric process procedure is proposed as a tool for continuous monitoring to detect intervention effects in a time series. The procedure uses exponentially weighted moving averages of the ranks of the post-intervention one-step-ahead forecast errors. The forecasts are based on the pre-intervention model, and the errors are ranked with respect to residuals in the pre-intervention period. The method is illustrated with the Los Angeles oxidant data previously analyzed by Box and Tiao (1975).
Originalsprache | Englisch |
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Titel des Sammelwerks | Economic Structural Change |
Untertitel des Sammelwerks | Analysis and Forecasting |
Herausgeber*innen | Peter Hackl, Anders Westlund |
Erscheinungsort | Berlin |
Verlag | Springer |
Kapitel | 7 |
Seiten | 85-94 |
ISBN (elektronisch) | 978-3-662-06824-3 |
ISBN (Print) | 978-3-662-06826-7 |
DOIs | |
Publikationsstatus | Veröffentlicht - 1991 |