A comparison of some of pattern identification methods for order determination of mixed ARMA models

DOI10.1016/S0167-7152(98)00195-3MaRDI QIDQ1962151zbMATH OpenOpenAlexFDO

Authors Wai Sum Chan

Publication date 30 March 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00195-3

zbMATH Keywords

model identificationtime-seriescorner methodESACF table

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
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• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
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• ARMA model identification
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION
• Use of canonical analysis in time series model identification
• Using instrumental variables for selecting the order of arma models

Cited in

(7)

• Model identification of ARIMA family using genetic algorithms
• Pattern Detection in Intensive Care Monitoring Time Series with Autoregressive Models: Influence of the Model Order
• Automatic model identification using vector sample autocorrelation function
• Designing fuzzy time series forecasting models: a survey
• Order Reductions of the Marginals and Identification of Multiple ARMA Models
• Hybridization of intelligent techniques and ARIMA models for time series prediction
• A case study on the shareholder network effect of stock market data: an SARMA approach

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