On the relationship between levinson recursion and the r and s arrays for arma model identification

DOI10.1080/03610928508828972zbMath0594.62102OpenAlexW2001116333MaRDI QIDQ3725398

J. B. Bednar, Brenda Roberts

Publication date: 1985

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928508828972

zbMATH Keywords

ARMA model identificationARMAAICAkaike's information criterionFPELevinson recursiongeneralized partial autocorrelationARMA model ordersR array approachS array approach

Mathematics Subject Classification ID

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

Cites Work

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• New inversion formulas for matrices classified in terms of their distance from Toeplitz matrices
• Fitting autoregressive models for prediction
• Statistical predictor identification
• The Fitting of Time-Series Models
• Some recent advances in time series modeling
• An Algorithm for the Computation of the Higher OrderG-Transformation

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