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8.6.

8.6.1.

() , , . 5 7. , , : (), [Box and Jenkins (1976)], , [Kalman (1960)] [Harvey (1981)]. , -. - , - , , [Harvey and Phillips (1979); Jones (1980)]. , - 8.6.3 [Shumway and Stoffer (1982)].

8.6.2.

. ,

, , .

-, .

8.4. , -, , , 1) , , 2) (8.14) , . -. , . ,

8.7. .

,

-

, . -, - - . . (8.16),

.

. , , . , 1) 2) , ,

, , , . :

(8.17)

, , .

8.6.3.

[Shumway and Stoffer (1982)]

, - , ; - , , - , .

, . () () , , Y, . . , - - 0.

, , - - [Gupta and Mehra (1974); Ledolter (1979); Goodrich and Caines (1979)]. -, . , 0, , . [Shumway and Stoffer (1982)]. . , :

, . .

8.8. , . . 8.5 , , Social Security, Administration (SSA), a Y2 - Health Care Financing Administration (HCFA).

(. )

[Shumway and Stoffer (1982)]

, . 8.7, , ; , , , .

8.6. (. ) - - 8.8

. 8.6 -. . . 8.5 - 1949-1976 . 5 (1977-1981 .) . 355 1977 . 952 1981 ., .

(. )

(. )

(. )

(. )

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