A method for testing the order of an autoregressive-moving average process

DOI10.1093/BIOMET/67.3.699MaRDI QIDQ3885019zbMATH OpenOpenAlexFDO

Authors E. J. Godolphin

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.3.699

zbMATH Keywords

stationary time seriesmodel identificationautoregressive-moving average processresidual serial correlationtesting orderresidual transformation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Cited in

(4)

• Uncorrelated residuals and an exact test for two variance components in experimental design
• Infrence for non-negative autoregressive schemes
• COMPARATIVE POWER STUDIES FOR GOODNESS OF FIT TESTS OF TIME SERIES MODELS
• Fully Bayesian analysis of ARMA time series models

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