Sequence transformations as statistical tools

DOI10.1016/0168-9274(85)90036-4MaRDI QIDQ1093296zbMATH OpenOpenAlexFDO

Authors Alain Berlinet

Publication date 1985

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0168-9274(85)90036-4

zbMATH Keywords

ARMA processBox-Jenkins methoddifference equationHankel determinantsinvariance properties of sequence transformationsorder determinationtime series

Mathematics Subject Classification ID

Determinants, permanents, traces, other special matrix functions (15A15) Hermitian, skew-Hermitian, and related matrices (15B57) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

A number of sequence tranformations are actually used in statistics to solve different kinds of problems. In the two first parts of this paper we set the statistical problem of estimating the unknown orders of an ARMA process and we give its equivalent formulation in terms of invariance properties of sequence transformations; the most used among them are reviewed in the third part. The study of this estimation problem occuring in the Box-Jenkins method has led to new properties of Hankel determinants which are given in the part four.

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Cites work

• A general extrapolation algorithm
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• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 3903803 (Why is no real title available?)
• scientific article; zbMATH DE number 3913498 (Why is no real title available?)
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3703856 (Why is no real title available?)
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• The -algorithm for the identification of a transfer-function model: Some applications
• Extrapolation algorithms and Padé approximations: A historical survey
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• Convergence acceleration during the 20th century
• Implementing the jackknife

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