Airline - Defining an Airline model

Jacquie Nesbitt

October 19, 2016 18:07

Returns a unique string to designate the specified Airline model.

Syntax

AIRLINE(mean, sigma, s, theta, theta2)

mean: is the model mean (i.e. mu) or the long-run mean of the differenced time series.
sigma: is the standard deviation of the model's residuals/innovations.
s: is the length of seasonality (expressed in steps, where s>1).
theta: is the coefficient of the non-seasonal MA component (see model description).
theta2: is the coefficient of the seasonal MA component (see model description).

The underlying model is described here.
The long-run mean argument (mean) can take any value or be omitted, in this case a zero value is assumed.
The value of the residuals/innovations standard deviation (sigma) must be positive.
The season length must be greater than one.
The input argument for the non-seasonal MA parameter - theta - is optional and can be omitted, in which case no non-seasonal MA component is included.
The input argument for the seasonal MA parameter - theta2 - is optional and can be omitted, in which case no seasonal MA component is included.
The function was added in version 1.63 SHAMROCK.

Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740