Order identification for Gaussian moving averages using the codifference function

DOI10.1080/10629360500107584MaRDI QIDQ5290919zbMATH OpenOpenAlexFDO

Authors Dedi Rosadi

Publication date 3 May 2006

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

Full work available at URL https://doi.org/10.1080/10629360500107584

zbMATH Keywords

moving averageorder identificationsample normalized codifference

Mathematics Subject Classification ID

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

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Cites work

• ARMA model identification

Cited in

(6)

• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Identification of moving average process with infinite variance
• scientific article; zbMATH DE number 1799342 (Why is no real title available?)
• Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
• Estimating the codifference function of linear time series models with infinite variance
• Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model

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