A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION

DOI10.1111/J.1467-9892.1984.TB00386.XMaRDI QIDQ3332114zbMATH OpenOpenAlexFDO

Authors Domenico Piccolo, G. Tunnicliffe Wilson

Publication date 1984

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1984.tb00386.x

zbMATH Keywords

ARMA model identificationautoregressive-moving average modelCholeski factorizationDurbin-Levinson algorithmestimated residual variancesfitting modelsprediction spacespreliminary estimatesregression equationssquared sample partial correlationsunified approachYule-Walker equations

Mathematics Subject Classification ID

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

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Cites work

• Algorithm AS 175: Cramer-Wold Factorization
• An instrumental variable method for model order identification
• Autoregressive and window estimates of the inverse correlation function
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• Recursive estimation of mixed autoregressive-moving average order
• The Cholesky Factorization of the Inverse Correlation or Covariance Matrix in Multiple Regression
• The Finite Memory Prediction of Covariance Stationary Time Series
• The Fitting of Time-Series Models
• The Numerical Stability of the Levinson-Durbin Algorithm for Toeplitz Systems of Equations
• Use of canonical analysis in time series model identification

Cited in

(14)

• Model specification and selection for multivariate time series
• Some conventional identification procedures for ARMA(1,0) with small parameter values: A simulation study
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• scientific article; zbMATH DE number 3909577 (Why is no real title available?)
• ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
• scientific article; zbMATH DE number 3954109 (Why is no real title available?)
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• ESTIMATION IN MULTIPLE AUTOREGRESSIVE-MOVING AVERAGE MODELS USING PERIODICITY
• scientific article; zbMATH DE number 4032863 (Why is no real title available?)
• On the identification of ARMA echelon-form models
• Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process
• On some simple, autoregression-based estimation and identification techniques for ARMA models
• Robust Identification of Autoregressive Moving Average Models
• Quasi-Empirical Bayes Methods of Estimation in Arma (p, q) Models with Vague Prior Information on MA(q)¹

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