Citation

Box GEP, Tiao GC. J. Am. Stat. Assoc. 1975; 70(349): 70-79.

Copyright

(Copyright © 1975, American Statistical Association)

DOI

10.1080/01621459.1975.10480264

PMID

unavailable

Abstract

This article discusses the effect of interventions on a given response variable in the presence of dependent noise structure. Difference equation models are employed to represent the possible dynamic characteristics of both the interventions and the noise. Some properties of the maximum likelihood estimators of parameters measuring level changes are discussed. Two applications, one dealing with the photochemical smog data in Los Angeles and the other with changes in the consumer price index, are presented.