On a search procedure for the optimal AR-MA order

DOI10.1007/BF02532795zbMath0425.62071MaRDI QIDQ1135601

Genshiro Kitagawa

Publication date: 1977

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

zbMATH Keywords

entropyautoregressive moving average modelsearch procedureminimum AIC methodoptimal AR-MA order

Mathematics Subject Classification ID

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

Related Items (2)

Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations) ⋮ Covariance matrix computation of the state variable of a stationary Gaussian process

Uses Software

• timsac

Cites Work

• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
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