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Dynamic simulation for time series modeling

Published: 08 November 1996 Publication History

Abstract

There has been considerable interest in investigating time series in the fields of economics, business, and engineering. This paper illustrates that dynamic simulation can be used as an instructional tool to introduce time series concepts. We design two simulation models using SIMULINK to represent dynamic models for autoregressive moving average (ARMA) time series data given by a state-space representation. SIMULINK is a program for simulating dynamic systems. It offers a graphical user interface that allows easy development of block diagrams and hierarchical models. This paper presents an overview of how SIMULINK can be used for time series modeling.

References

[1]
Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. 1994. Time series anal!Isis: forecasting and coa- Zrol. Third Edition. Prentice Hall, Inc., Eng}ewood Cliffs, NJ.
[2]
Montgomery, D. C., Johnson, L. A., and Gardiner, J. S. 1988. Forecaating aad time series anal~lsia. Second Edition. McGraw-Hill, Inc., New York, NY.
[3]
Nembhard, H. B. 1996. Simulation using the statespace representation of noisy dynamic systems to determine effective integrated process control clesigns. In review with IIE 7baasactiona.
[4]
Nembhard~ H. B. and Mastrangelo, C. 1996. Integrated process control for startup operations. ASQC 1996 Fall Technical Conference. Scottsdale, AZ, October.
[5]
Ogata, K. 1987. Discrete-~ime control 8~/stems. Prentice-Hall, Inc., Englewood Cliffs, NJ.
[6]
SIMULINKTM. A Program for Simulating Dynamic Systems. Computer Software. 1994. The Math- Works, Inc.

Cited By

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  • (2001)A forecast‐based monitoring methodology for process transitionsQuality and Reliability Engineering International10.1002/qre.40317:4(307-321)Online publication date: 27-Jul-2001
  • (undefined)Ethical Issues in Engineering Models: Personal ReflectionsSSRN Electronic Journal10.2139/ssrn.1545733

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Published In

cover image ACM Conferences
WSC '96: Proceedings of the 28th conference on Winter simulation
November 1996
1527 pages
ISBN:0780333837

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IEEE Computer Society

United States

Publication History

Published: 08 November 1996

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  • Article

Conference

WSC90
Sponsor:
  • IIE
  • INFORMS/CS
  • IEEE-SMCS
  • ASA
  • ACM
  • SCS
  • SIGSIM
  • IEEE-CS
  • NIST
WSC90: 1990 Winter Simulation Conference
December 8 - 11, 1996
California, Coronado, USA

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WSC '96 Paper Acceptance Rate 128 of 187 submissions, 68%;
Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

View all
  • (2001)A forecast‐based monitoring methodology for process transitionsQuality and Reliability Engineering International10.1002/qre.40317:4(307-321)Online publication date: 27-Jul-2001
  • (undefined)Ethical Issues in Engineering Models: Personal ReflectionsSSRN Electronic Journal10.2139/ssrn.1545733

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