A comparison of some autocovariance-based methods of arma model selection: a simulation study
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Publication:4851422
DOI10.1080/00949659308811474zbMath0825.62684OpenAlexW2080511534MaRDI QIDQ4851422
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
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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