Automatic model identification using vector sample autocorrelation function

DOI10.1080/03610918608812566MaRDI QIDQ3800937zbMATH OpenOpenAlexFDO

Authors Tae Joon Jeon, Sung Joo Park

Publication date 1986

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

Full work available at URL https://doi.org/10.1080/03610918608812566

zbMATH Keywords

time seriesautoregressive-moving average processautomatic model identification procedureiterated regression estimatesvector sample autocorrelation functionVSACF)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

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