A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL

DOI10.1111/j.1467-9892.1984.tb00393.xzbMath0569.62076OpenAlexW1998208849MaRDI QIDQ3685894

Pham Dinh Tuan

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00393.x

zbMATH Keywords

recursive relationsautocorrelationsorder identificationpartial autocorrelationsorder of autoregressive moving average

Mathematics Subject Classification ID

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

Related Items (2)

Using instrumental variables for selecting the order of arma models ⋮ Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications

Cites Work

• Recursive estimation of mixed autoregressive-moving average order
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
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