On the use of autoregressive order determination criteria in univariate white noise tests

DOI10.1109/29.1586zbMath0647.62083OpenAlexW2149530029MaRDI QIDQ3792105

Tarmo M. Pukkila, P. R. Krishnaiah

Publication date: 1988

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.1586

zbMATH Keywords

simulationAICBICautoregressive moving average modelautoregressive order determination criterianew order selection methodNew tests of white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Consistent order selection for noncausal autoregressive models via higher-order statistics ⋮ New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models ⋮ Identifying infinite variance arma models using a robust pukk1la koreisha kallinen strategy

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