ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES

DOI10.1111/J.1467-9892.1984.TB00388.XzbMATH Open0569.62077OpenAlexW2049836767MaRDI QIDQ3685895FDOQ3685895

Authors: David F. Findley 

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.tb00388.x

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zbMATH Keywords

signal extractionlinear quadratic controlambiguitiesspectrum approximationfitting of ARMA models to time seriesmultistep-ahead forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• A fundamental relation between predictor identification and power spectrum estimation
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• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• An optimal autoregressive spectral estimate
• On selection of the order of the spectral density model for a stationary process
• Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
• Statistical identification for optimal control of supercritical thermal power plants
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Cited In (11)

• Recent developments in time series forecasting
• Multistep forecast selection for panel data
• Toward optimal multistep forecasts in non-stationary autoregressions
• Multistep prediction in autoregressive processes
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS
• Pitfalls of fitting autoregressive models for heavy-tailed time series
• Asymptotically efficient model selection for panel data forecasting
• Title not available (Why is that?)
• Information loss of extracted series in AR(1) model
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

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