Deterministic and Forecast-Adaptive Time-Dependent Models

Abstract

Some concern has been expressed in the past as to whether the Autoregressive Integrated Moving Average (arima) time series models might wrongly be employed where “deterministic” ones would be more appropriate. The fact is that for a wide class of functions the arima models are capable of indicating the need for “deterministic” components if they are there. This need is shown by a near cancellation of operators in the difference equation model and yielding a non‐adaptive complementary function for the difference equation.