Dynamic simulation for time series modeling

  • Authors:
  • Harriet Black Nembhard;David A. Nembhard

  • Affiliations:
  • Department of Management, Auburn University, Auburn, Alabama;-

  • Venue:
  • WSC '96 Proceedings of the 28th conference on Winter simulation
  • Year:
  • 1996

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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.