A Computer Aided Design Package For Time Series Analysis

Abstract

<p>Robert Frank Moore: A Computer Aided Design Package for Time Series Analysis. M.Eng. Thesis, McMaster University, Hamilton Ontario, February 1982.</p> <p>Control problems often require a reasonable and adequate model for forecasting or control. An interactive computer package is presented which allows the iterative determination of a stochastic and transfer function model for single input/single output experimental data. Note that time series analysis techniques present various quantitative measures of model adequacy for this type of model. User familiarity with time series analysis is essential in the determination of a reasonable, parsimonious model during an interactive session with this package.</p> <p>The interactive program provides initial diagnostic tests for the data to aid the estimation of parameters for a user selected model form. The Marquardt non-linear least squares procedure is available to improve the initial parameter estimates. Information for diagnostic testing of the model residuals is then displayed. The option for iteration back to the point of model form selection is available.</p> <p>A multivariable analysis problem may be resolved in a stepwise manner using a non-iterative version of the time series package. This version fits a user selected model to the data and provides diagnostics on the model residuals. The computer package is presently functional on a VAX 11/750 computer. All graphical display characteristics are suitable for a Tektronics 4025 terminal. Programming for the package is in FORTRAN77.</p>