Automatic model identification using vector sample autocorrelation function

DOI10.1080/03610918608812566zbMath0654.62076OpenAlexW2027739146MaRDI QIDQ3800937

Tae Joon Jeon, Sung Joo Park

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/03610918608812566

zbMATH Keywords

time seriesautoregressive-moving average processautomatic model identification procedureiterated regression estimatesvector sample autocorrelation functionVSACF)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Related Items (1)

Using instrumental variables for selecting the order of arma models

This page was built for publication: Automatic model identification using vector sample autocorrelation function