A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL

DOI10.1111/J.1467-9892.1984.TB00393.XMaRDI QIDQ3685894zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tuan

Publication date 1984

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1984.tb00393.x

zbMATH Keywords

autocorrelationsorder identificationorder of autoregressive moving averagepartial autocorrelationsrecursive relations

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Recursive estimation of mixed autoregressive-moving average order

Cited in

(3)

• Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
• Using instrumental variables for selecting the order of arma models
• Order identification for Gaussian moving averages using the codifference function

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