A comparison of some autocovariance-based methods of arma model selection: a simulation study

DOI10.1080/00949659308811474zbMath0825.62684OpenAlexW2080511534MaRDI QIDQ4851422

Efstathios Paparoditis

Publication date: 14 November 1995

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659308811474

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES ⋮ Determining the order of an arm a model from outlier contaminated data

Cites Work

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• On confidence intervals and tests for autocorrelations
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Using instrumental variables for selecting the order of arma models
• Use of canonical analysis in time series model identification
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• Simulation of weibull and gamma autoregressive stationary process
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification

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