A comparison of some autocovariance-based methods of arma model selection: a simulation study

DOI10.1080/00949659308811474MaRDI QIDQ4851422zbMATH OpenOpenAlexFDO

Authors Efstathios Paparoditis

Publication date 14 November 1995

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

Full work available at URL https://doi.org/10.1080/00949659308811474

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Cites work

• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 41054 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• On confidence intervals and tests for autocorrelations
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• Simulation of weibull and gamma autoregressive stationary process
• Use of canonical analysis in time series model identification
• Using instrumental variables for selecting the order of arma models

Cited in

(2)

• ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES
• Determining the order of an arm a model from outlier contaminated data

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