The discrimination between autoregressive and moving average models from the estimated inverse correlations

zbMATH Open0661.62087MaRDI QIDQ1113247

R. J. Bhansali

Publication date: 1987

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

time seriesasymptotic behaviourAkaike information criterionsimulation studymoving average modelsmaximum likelihood estimatefinite sample behaviourautoregressive estimates of the inverse correlation functiondiscrimination procedure

Mathematics Subject Classification ID

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

Related Items (1)

A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function

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