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

DOI10.1007/BF02006182zbMATH Open0676.62069OpenAlexW2004263192MaRDI QIDQ1122913FDOQ1122913

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

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• scientific article; zbMATH DE number 19725
• The Order of Differencing in ARIMA Models
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Estimation of the degree of differencing of an ARIMA process

zbMATH Keywords

order determinationARIMA(p,d,q) model

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (3)

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

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