On the recursive fitting of subset autoregressive-moving average process

DOI10.1007/BF01666517zbMath0636.62094MaRDI QIDQ1098212

Zhao-Guo Chen

Publication date: 1985

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

recursive procedureARMA modelorder determinationfitting dataautoregressive-moving average processconsistent identificationsubset ARMA model

Mathematics Subject Classification ID

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

Related Items (2)

Selecting sub-set autoregressions from outlier contaminated data. ⋮ Subset regression time series and its modeling procedures

Cites Work

• Unnamed Item
• Autocorrelation, autoregression and autoregressive approximation
• Estimation of the order of ARMA model by linear procedures
• The estimation of the order of an ARMA process
• Recursive estimation of mixed autoregressive-moving average order
• Selection of the order of an autoregressive model by Akaike's information criterion

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