ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION

DOI10.1111/j.1467-9892.1983.tb00365.xzbMath0556.62065OpenAlexW2134491403MaRDI QIDQ3219618

R. J. Bhansali

Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00365.x

zbMATH Keywords

maximum likelihood estimationAkaike information criterionsimulation studymoving average modelfinite sample behaviourwindow estimatesFPE sub 2 criterioninverse correlation functionorder-selection-criteria

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (6)

Dual and inverse ARMA processes and application to time reversibility ⋮ An efficient method for the estimation of multivariate moving averge models ⋮ Estimating the inverse autocorrelation function from outlier contaminated data ⋮ Identification of moving average process with infinite variance ⋮ Estimating the codifference function of linear time series models with infinite variance ⋮ The inverse partial correlation function of a time series and its applications

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