抄録
The purpose of this paper is to propose a comprehensive design procedure for the ARIMAX type time series model including Box-Jenkins type mixed time series model. The design procedure contains various algorithms which may be useful for systematic time series model building, especially an effective algorithm to set up initial values for nonlinear optimization which is indispensable to the parameter estimation of time series model including MA part is given. Finally, using practical sales and advertising data of two companies, the effectiveness of the design procedure proposed in this paper is shown.
