Modeling and Multivariate Methods - SAS

372 Performing Time Series Analysis Chapter 14
Transfer Functions
Figure 14.13 Prewhitening Dialog
Click Estimate to reveal the Prewhitening plot.
Patterns in these plots suggest terms in the transfer function model.
Transfer Function Model
A typical transfer function model with m inputs can be represented as
ω 1
( B)
Y t
– μ -------------- X
δ 1
( B)
1, t – d1
… ω m
---------------- ( B)
θ( B)
=
+ + X
δ m
( B)
+ m, m–
dm ϕ -----------e ( B)
t
where
Y t denotes the output series
X 1 to X m denote m input series