Estimating the order of moving average models: the max X2method

DOI10.1080/03610927808827619zbMath0391.62065OpenAlexW2148330814MaRDI QIDQ4172824

James T. McClave

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1080/03610927808827619

zbMATH Keywords

EstimatingAutoregressive ModelHannan's ProcedureMax Chi Square MethodMc Clave's AlgorithmOrder of Moving Average ModelsParzen-Clevenson Method

Mathematics Subject Classification ID

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

Related Items (2)

A characterization of the inverse autocorrelation function ⋮ The inverse partial correlation function of a time series and its applications

Cites Work

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• Statistical predictor identification
• On Estimation of the Spectral Function of a Stationary Gaussian Process
• ON HANNAN'S ESTIMATION OF ARMA MODELS
• On the Statistical Treatment of Linear Stochastic Difference Equations

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