Identification and hypothesis testing on ARIMA (p,d,q) models

DOI10.1007/BF02006182MaRDI QIDQ1122913zbMATH OpenOpenAlexFDO

Authors Hongye Gao

Publication date 1989

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02006182

zbMATH Keywords

ARIMA(p,d,q) modelorder determination

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 19725
• The Order of Differencing in ARIMA Models
• Hypothesis Testing in ARIMA(p, 1, q) Models
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Cites work

• Autocorrelation, autoregression and autoregressive approximation
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Revisions in ARIMA Signal Extraction
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Two limit theorems on ARIMA models

Cited in

(3)

• Estimation of the degree of differencing of an ARIMA process
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models

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