A note on a local equivalence of two recent approaches to autoregressive order determination

DOI10.1080/00207177908922709zbMath0406.93006OpenAlexW2022020866MaRDI QIDQ4193330

Howell Tong

Publication date: 1979

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207177908922709

zbMATH Keywords

Time Series ModellingAutoregressive Order DeterminationLocal EquivalenceMaximum Likelihood Principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) General systems (93A10)

Related Items (1)

THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN

Cites Work

• Unnamed Item
• Statistical predictor identification
• Some recent advances in time series modeling
• Fitting a smooth moving average to noisy data (Corresp.)
• Selection of the order of an autoregressive model by Akaike's information criterion
• TESTS OF FIT IN TIME SERIES

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