This paper is concerned with practical aspects of least absolute deviation (LAD) estimation of Box-Jenkins models for single time series. Formulation of the LAD method as a non-linear programming problem is described. The method is applied to a multiplicative seasonal moving average model for monthly rice sales data and to US airline passenger data.
|Number of pages||6|
|Journal||European Journal of Operational Research|
|Publication status||Published - 11 Jun 1993|
- LAD estimation
- Moving averages
- Non-linear programming