Estimation of the degree of differencing of an ARIMA process
type: Item
instance of: scholarly article
title: Estimation of the degree of differencing of an ARIMA process
zbMATH Open document ID: 0584.62147
DOI: 10.1007/BF02481108
author: Yoshihiro Yajima
published in: Annals of the Institute of Statistical Mathematics
publication date: 1985-01-01T00:00:00Z
review text: A method of estimating the degree of differencing of an ARIMA process is proposed. This is based on fitting an AR model to the original and to each differenced series and calculating the residual sum of squares. As an application, we suggest an identification method of an ARI(p,d) process combining our method of estimating the degree of differencing with Akaike's information criterion.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62B10
zbMATH DE Number: 3936306
zbMATH Keywords: order selection
zbMATH Keywords: degree of differencing
zbMATH Keywords: ARIMA process
zbMATH Keywords: fitting an AR model
zbMATH Keywords: residual sum of squares
zbMATH Keywords: identification
zbMATH Keywords: Akaike's information criterion
MaRDI profile type: Publication
cites work: Q4769776
cites work: A new look at the statistical model identification
cites work: A note on differencing autoregressive moving average (p, q) processes
cites work: Q5631966
cites work: Q5560061
cites work: Q4137964
cites work: An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
cites work: The estimation of the order of an ARMA process
cites work: Estimation for autoregressive processes with unit roots
cites work: Selection of the order of an autoregressive model by Akaike's information criterion
cites work: Q3881760
description: scientific article; zbMATH DE number 3936306