Discrimination of AR, MA and ARMA time series models

DOI10.1080/03610929608831762zbMATH Open0875.62425OpenAlexW2088579661MaRDI QIDQ4337189FDOQ4337189

Authors: Huang-Ting Chan, Rahim Chinipardaz, Trevor F. Cox 

Publication date: 5 November 1997

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831762

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zbMATH Keywords

ARMAquadratic formsautoregressive modelsband matrixmoving average models

Mathematics Subject Classification ID

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

Cites Work

• Linear Combinations of Non-Central Chi-Square Variates
• Title not available (Why is that?)
• Title not available (Why is that?)
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• Bhattacharyya distance based linear discriminant function for stationary time series
• Disoominkfrcn between gaussian time series based on their spectral differences
• Distribution of Definite and of Indefinite Quadratic Forms
• SPECTRAL RATIO DISCRIMINANTS AND INFORMATION THEORY
• Linear discriminant function for complex normal time series
• Predictive discrimination for autoregressive processes
• The classification problem with autoregressive process

Cited In (9)

• Time series discrimination using likelihood function of discrete wavelet coefficients
• Discriminant and cluster analysis for Gaussian stationary processes: local linear fitting approach
• The discrimination between autoregressive and moving average models from the estimated inverse correlations
• Nonparametric Methods of Process Discrimination and Model Validation Using Zero Crossings
• Title not available (Why is that?)
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Time series discriminant analysis of \(\text{AR}(p)\) plus noise processes: a time domain approach
• On the connection between model selection criteria and quadratic discrimination in ARMA time series models
• A run length transformation for discriminating between auto regressive time series

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