On a search procedure for the optimal AR-MA order
From MaRDI portal
Publication:1135601
DOI10.1007/BF02532795zbMath0425.62071MaRDI QIDQ1135601
Publication date: 1977
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
entropy; autoregressive moving average model; search procedure; minimum AIC method; optimal AR-MA order
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62B10: Statistical aspects of information-theoretic topics
Related Items
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
Uses Software
Cites Work