A specification strategy for order determination in arma models

DOI10.1080/03610918808812711MaRDI QIDQ3471564zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer, Pentti Saikkonen

Publication date 1988

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918808812711

zbMATH Keywords

AICARMA modelsC(alpha) testsconsistencySBICspecification strategytestingtime series

Mathematics Subject Classification ID

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

Recommendations

• On the application of the Wald statistic to order estimation of ARMA models
• On estimating the order of an ARMA process
• scientific article; zbMATH DE number 903145
• scientific article; zbMATH DE number 800023
• Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

Cites work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
• A new look at the statistical model identification
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• scientific article; zbMATH DE number 3714796 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• Recursive estimation of mixed autoregressive-moving average order
• SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES
• The Fitting of Time-Series Models

Cited in

(3)

• Bullwhip reduction for ARMA demand: the proportional order-up-to policy versus the full-state-feedback policy
• scientific article; zbMATH DE number 5613813 (Why is no real title available?)
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

This page was built for publication: A specification strategy for order determination in arma models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3471564)