Estimation of the degree of differencing of an ARIMA process

DOI10.1007/BF02481108zbMath0584.62147MaRDI QIDQ1069632

Yoshihiro Yajima

Publication date: 1985

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

identificationAkaike's information criterionorder selectionresidual sum of squaresARIMA processdegree of differencingfitting an AR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items

Simple diagnostic tools for inverstigating linear trends in time series, Simple diagnostic tools for inverstigating linear trends in time series, Estimation of parameters in ARUMA models

Cites Work

• Estimation for autoregressive processes with unit roots
• The estimation of the order of an ARMA process
• A note on differencing autoregressive moving average (p, q) processes
• Selection of the order of an autoregressive model by Akaike's information criterion
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
• A new look at the statistical model identification
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