Estimation of the degree of differencing of an ARIMA process (Q1069632)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the degree of differencing of an ARIMA process |
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Estimation of the degree of differencing of an ARIMA process (English)
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1985
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A method of estimating the degree of differencing of an ARIMA process is proposed. This is based on fitting an AR model to the original and to each differenced series and calculating the residual sum of squares. As an application, we suggest an identification method of an ARI(p,d) process combining our method of estimating the degree of differencing with Akaike's information criterion.
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order selection
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degree of differencing
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ARIMA process
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fitting an AR model
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residual sum of squares
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identification
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Akaike's information criterion
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