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Unobserved Components Model, Proc UCM

Underlying model and several of the features of Proc UCM, new in the
Econometrics and Time Series (ETS) module of SAS .

Time series data is generated by marketers as they monitor “sales by month”
and by medical researchers who collect vital sign information over time. This
technique is well suited to modeling the effect of interventions (drug administration
or a change in a marketing plan). This new procedure combines the flexibility of
Proc ARIMA with the ease of use and interpretability of Smoothing models.

UCM does not have the capability to easily model transfer functions, a useful
ARIMA function that is planned for Proc UCM.

An Animated Guide©: Proc UCM (Unobserved Components Model)
Russ Lavery, Contractor for ASG, Inc., PDF

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