ARMA Model order estimation using third order computations

DOI10.1080/03081070512331318338MaRDI QIDQ4654219zbMATH OpenOpenAlexFDO

Authors Adnan M. Al-Smadi

Publication date 3 March 2005

Published in International Journal of General Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03081070512331318338

zbMATH Keywords

ARMAmodel ordernon-Gaussiannon-stationary effects

Mathematics Subject Classification ID

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

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Cited in

(7)

• An order-recursive algorithm to solve the 3-D Yule-Walker equations of causal 3-D AR models
• ARMA model order estimation of non-Gaussian process using the determinant of sub-matrices of a third order cumulants covariance matrix
• Performance analysis of parameter estimation algorithms based on high-order moments
• scientific article; zbMATH DE number 922654 (Why is no real title available?)
• The estimation of the order of an ARMA process using third-order statistics
• An efficient approach for computing non-Gaussian ARMA model coefficients using Pisarenko's method
• Cumulant-based order selection of non-Gaussian autoregressive moving average models: The corner method

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