Identification of a univariate ARMA model
The authors study relationships between the corner method, the epsilon-algorithm, the method of \textit{C.A. Glasbey} [see Biometrika 73, 447-453 (1986; Zbl 0608.62106); Biometrics 36, 135-140 (1980; Zbl 0424.62063)], and the w-algorithm for identifying orders of autoregressive moving average (ARMA) models. By deriving suitable expressions for the asymptotic distributions of the statistics involved, the authors improve the reliability of these methods and apply them simultaneously to automatic order selection within a single programme to make sure their general agreement.
- scientific article; zbMATH DE number 4119443
- ARMA model identification
- Using instrumental variables for selecting the order of arma models
- scientific article; zbMATH DE number 3954109
- ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
- ARMA model identification
- The -algorithm for the identification of a transfer-function model: Some applications
- A comparison of some of pattern identification methods for order determination of mixed ARMA models
- Global statistical information in exponential experiments and selection of exponential models
- Using instrumental variables for selecting the order of arma models
- scientific article; zbMATH DE number 3954109 (Why is no real title available?)
- ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
- 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
- scientific article; zbMATH DE number 4119443 (Why is no real title available?)
- scientific article; zbMATH DE number 800023 (Why is no real title available?)
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