A specification strategy for order determination in arma models

DOI10.1080/03610918808812711zbMath0695.62215OpenAlexW2075387126MaRDI QIDQ3471564

Jan G. De Gooijer, Pentti Saikkonen

Publication date: 1988

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918808812711

zbMATH Keywords

consistencytime seriestestingARMA modelsAICC(alpha) testsSBICspecification strategy

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• The Fitting of Time-Series Models
• Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• Recursive estimation of mixed autoregressive-moving average order
• SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES
• A new look at the statistical model identification