Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey

DOI10.2307/1402894zbMath0586.62145OpenAlexW1993077520MaRDI QIDQ3711569

Jan G. De Gooijer, Lecily Robinson, Bovas Abraham, Ann Gould

Publication date: 1985

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1402894

zbMATH Keywords

surveytime seriesAkaike's information criterionBayesian methodsLagrange multiplier testfinal prediction errororder determinationcross- validationautoregressive-moving average processcorner methodinverse autocorrelationsextended autocorrelationsgeneralized partial correlationsS- and R-arrays

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Identification of models for chaotic systems from noisy data: implications for performance and nonlinear filtering ⋮ Term clustering and the order selection of linear continuous systems ⋮ A specification strategy for order determination in arma models ⋮ Recent developments in time series forecasting ⋮ A comparison of some autocovariance-based methods of arma model selection: a simulation study ⋮ Prediction in several conventional contexts ⋮ Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models ⋮ Min-max optimal instrumental variable estimation method for multivariate linear time-series systems ⋮ An investigation of model selection criteria for neural network time series forecasting ⋮ The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

This page was built for publication: Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey