A significance test for classifying arma models

DOI10.1080/00949659608811737zbMath0899.62116OpenAlexW2147964499MaRDI QIDQ4357248

Elizabeth Ann Maharaj

Publication date: 15 November 1998

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659608811737

zbMATH Keywords

time seriesclustering algorithmARMA modelssignificance test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Consistent autoregressive spectral estimates
• Linear prediction by autoregressive model fitting in the time domain
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS

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