On a search procedure for the optimal AR-MA order

DOI10.1007/BF02532795MaRDI QIDQ1135601zbMATH OpenFDO

Authors Genshiro Kitagawa

Publication date 1977

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02532795

zbMATH Keywords

autoregressive moving average modelentropyminimum AIC methodoptimal AR-MA ordersearch procedure

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 3604162 (Why is no real title available?)
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

Cited in

(2)

• Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations)
• Covariance matrix computation of the state variable of a stationary Gaussian process

Describes a project that uses

Uses Software

• timsac

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