Order identification for Gaussian moving averages using the codifference function

DOI10.1080/10629360500107584zbMath1101.62078OpenAlexW1991189156MaRDI QIDQ5290919

Dedi Rosadi

Publication date: 3 May 2006

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

Full work available at URL: https://doi.org/10.1080/10629360500107584

zbMATH Keywords

moving averageorder identificationsample normalized codifference

Mathematics Subject Classification ID

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

Related Items (3)

The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ Estimating the codifference function of linear time series models with infinite variance

Cites Work

• ARMA model identification

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