ARMA model identification
type: Item
instance of: scholarly article
title: ARMA model identification
zbMATH Open document ID: 0754.62071
published in: Springer Series in Statistics
publication date: 1992-09-18T00:00:00Z
review text: The book gives an account of identification methods for univariate ARMA models. The author describes the autocorrelation methods ( Box and Jenkins method, the inverse autocorrelation method), penalty function methods ( Akaike's FPE and AIC criteria, Parzen's method, Bayesian information criterion, Hannan and Quinn's criterion), innovation regression methods (Hannan and Rissanen's method, Koreisha and Pukkila's method) and pattern identification methods (\(R\) and \(S\) arrays, the corner method, the GPAC, ESACF, SCAN and Woodside's methods). The last chapter is devoted to testing hypothesis methods (e.g. based on the portmanteau statistic). The author presents fundamental ideas, historical notes, a few personal views of leading statisticians, and many references (749 items on 48 pages). No numerical examples and no methods for identification of multivariate models are given.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62-02
Mathematics Subject Classification ID: 62-01
zbMATH DE Number: 53948
zbMATH Keywords: bibliography
zbMATH Keywords: identification methods
zbMATH Keywords: univariate ARMA models
zbMATH Keywords: autocorrelation methods
zbMATH Keywords: Box and Jenkins method
zbMATH Keywords: inverse autocorrelation method
zbMATH Keywords: penalty function methods
zbMATH Keywords: Akaike's FPE
zbMATH Keywords: AIC criteria
zbMATH Keywords: Parzen's method
zbMATH Keywords: Bayesian information criterion
zbMATH Keywords: innovation regression methods
zbMATH Keywords: pattern identification methods
zbMATH Keywords: \(R\) and \(S\) arrays
zbMATH Keywords: corner method
zbMATH Keywords: GPAC
zbMATH Keywords: ESACF
zbMATH Keywords: SCAN
zbMATH Keywords: testing hypothesis methods
zbMATH Keywords: portmanteau statistic
zbMATH Keywords: references
author: ByoungSeon Choi
reviewed by: Jiří Anděl
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 53948