• Modeling Binary Data. Collett Review by: Potter C. Chang Journal of the American Statistical Association, Vol. Rf Circuit Design Reinhold Ludwig Ebook Reader more.

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422 (Jun., 1993), pp. 706-707 Published by: American Statistical Association Stable URL:. Daruind Vei Dobandi Pdf Viewer on this page. Accessed: 01:12 Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at.. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org..

American Statistical Association is collaborating with JSTOR to digitize, preserve and extend access to Journal of the American Statistical Association. This content downloaded from 195.78.108.60 on Sun, 15 Jun 2014 01:12:07 AM All use subject to JSTOR Terms and Conditions • 706 Journal of the American Statistical Association, June 1993 the ARIMA orders of the input processes (pi, qi, i = 1,..., p), the noise process (p, q), and the orders of the numerator and denominator components of the transfer functions (ri, h, = 1,..., p), as well as the pure delays (b,, i = 1,..., p). My poor understanding of the various procedures by which one arrives at such specifications led me to restrict discussions in Shumway (1988) to a nonparametric approach to transfer function estimation in the frequency domain or to simple state-space or multivariate autoregressive approaches in the time domain. I am happy to report that the lucid discussion of the transfer function procedures in Pankratz's book has largely eliminated many of my misgivings about this methodology. Even though the discussion is on a practical level, one still can see the theoretical underpinnings well enough to understand what kinds of developments are needed to put the procedure on a relatively rigorous basis (see, for example, Brockwell, Davis, and Salehi 1990). It is clear that what Box and Jenkins originally called model identification and what is sometimes called model selection is the most difficult part of the procedure. It is here that Pankratz makes a bold choice.

Instead of choos- ing the cross-correlation function between the prewhitened input and trans- formed output process as the basic tool for identifying the transfer function structure, he chooses to use the multiple regression coefficients relating the lagged input processes to the output (see Liu and Hudak 1986). This ap- proach, known as the linear transfer function (LTF) method, seems to provide an improvement over the usual Box-Jenkins approach in that it works better when there are multiple inputs. The residuals are then used to build a simple ARMA model for the noise, after which one can reestimate the linear transfer function coefficients. These coefficients are then used to identify a parsimonious ratio of poly- nomials that can approximate the transfer function of the LTF. This is perhaps the most difficult step in the identification procedure for the reader, and the book provides many examples and graphs that illustrate various common ratios used to describe transfer functions.