A specification strategy for order determination in arma models
In this paper a specification strategy is proposed for the determination of the orders in ARMA models. The strategy is based on two newly defined concepts: the q-conditioned partial auto-regressive function and the p-conditioned partial moving average function. These concepts are similar to the gene...
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| Veröffentlicht in: | Communications in statistics. Simulation and computation 1988-01, Vol.17 (3), p.1037-1054 |
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| container_title | Communications in statistics. Simulation and computation |
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| creator | de Gooijer, Jan G. Saikkonen, Pentti |
| description | In this paper a specification strategy is proposed for the determination of the orders in ARMA models. The strategy is based on two newly defined concepts: the q-conditioned partial auto-regressive function and the p-conditioned partial moving average function. These concepts are similar to the generalized partial autocorrelation function which has been recently suggested for order determination. The main difference is that they are defined and employed in connection with an asymptotically efficient estimation method instead of the rather inefficient generalized Yule-Walker method. The specification is performed by using sequential Wald type tests. In contrast to the traditional testing of hypotheses, these tests use critical values which increase with the sample size at an appropriate rate |
| doi_str_mv | 10.1080/03610918808812711 |
| format | Article |
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The strategy is based on two newly defined concepts: the q-conditioned partial auto-regressive function and the p-conditioned partial moving average function. These concepts are similar to the generalized partial autocorrelation function which has been recently suggested for order determination. The main difference is that they are defined and employed in connection with an asymptotically efficient estimation method instead of the rather inefficient generalized Yule-Walker method. The specification is performed by using sequential Wald type tests. 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Simulation and computation</title><description>In this paper a specification strategy is proposed for the determination of the orders in ARMA models. The strategy is based on two newly defined concepts: the q-conditioned partial auto-regressive function and the p-conditioned partial moving average function. These concepts are similar to the generalized partial autocorrelation function which has been recently suggested for order determination. The main difference is that they are defined and employed in connection with an asymptotically efficient estimation method instead of the rather inefficient generalized Yule-Walker method. The specification is performed by using sequential Wald type tests. In contrast to the traditional testing of hypotheses, these tests use critical values which increase with the sample size at an appropriate rate</description><subject>AIC</subject><subject>ARMA model</subject><subject>C(α) tests</subject><subject>consistency</subject><subject>Exact sciences and technology</subject><subject>Inference from stochastic processes; time series analysis</subject><subject>Mathematics</subject><subject>Probability and statistics</subject><subject>SBIC</subject><subject>Sciences and techniques of general use</subject><subject>specification strategy</subject><subject>Statistics</subject><subject>testing</subject><subject>time series</subject><issn>0361-0918</issn><issn>1532-4141</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1988</creationdate><recordtype>article</recordtype><recordid>eNp1kE1LxDAQhoMouK7-AG85eK3ONN0kC4Isi1-w4EXPZZoPibTNkhSk_94uVS_iaQ7zPO8wL2OXCNcIGm5ASIQ1ag1aY6kQj9gCV6IsKqzwmC0O--IAnLKznD8AQOhKL9jdhue9M8EHQ0OIPc9DosG9j9zHxGOyLnHrBpe60M9A6DmljngXrWvzOTvx1GZ38T2X7O3h_nX7VOxeHp-3m11hRKmGgoCQULhKa6moaSoprfSw0tZ5KqVAZ6qVBUW6sY2SjTGqFARaKGHXU4JYMpxzTYo5J-frfQodpbFGqA8N1H8amJyr2dlTNtT6RL0J-VdUqKZ8mLDbGQv99HNHnzG1th5obGP6ccT_V74AwwBtfA</recordid><startdate>19880101</startdate><enddate>19880101</enddate><creator>de Gooijer, Jan G.</creator><creator>Saikkonen, Pentti</creator><general>Marcel Dekker, Inc</general><general>Taylor & Francis</general><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>19880101</creationdate><title>A specification strategy for order determination in arma models</title><author>de Gooijer, Jan G. ; Saikkonen, Pentti</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c327t-a0a1a13e48867abb466d6f058defa2631ec45d07a8bdb76bcc723a08373d93273</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1988</creationdate><topic>AIC</topic><topic>ARMA model</topic><topic>C(α) tests</topic><topic>consistency</topic><topic>Exact sciences and technology</topic><topic>Inference from stochastic processes; time series analysis</topic><topic>Mathematics</topic><topic>Probability and statistics</topic><topic>SBIC</topic><topic>Sciences and techniques of general use</topic><topic>specification strategy</topic><topic>Statistics</topic><topic>testing</topic><topic>time series</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>de Gooijer, Jan G.</creatorcontrib><creatorcontrib>Saikkonen, Pentti</creatorcontrib><collection>Pascal-Francis</collection><collection>CrossRef</collection><jtitle>Communications in statistics. Simulation and computation</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>de Gooijer, Jan G.</au><au>Saikkonen, Pentti</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A specification strategy for order determination in arma models</atitle><jtitle>Communications in statistics. Simulation and computation</jtitle><date>1988-01-01</date><risdate>1988</risdate><volume>17</volume><issue>3</issue><spage>1037</spage><epage>1054</epage><pages>1037-1054</pages><issn>0361-0918</issn><eissn>1532-4141</eissn><coden>CSSCDB</coden><abstract>In this paper a specification strategy is proposed for the determination of the orders in ARMA models. The strategy is based on two newly defined concepts: the q-conditioned partial auto-regressive function and the p-conditioned partial moving average function. These concepts are similar to the generalized partial autocorrelation function which has been recently suggested for order determination. The main difference is that they are defined and employed in connection with an asymptotically efficient estimation method instead of the rather inefficient generalized Yule-Walker method. The specification is performed by using sequential Wald type tests. In contrast to the traditional testing of hypotheses, these tests use critical values which increase with the sample size at an appropriate rate</abstract><cop>Colchester</cop><pub>Marcel Dekker, Inc</pub><doi>10.1080/03610918808812711</doi><tpages>18</tpages></addata></record> |
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| ispartof | Communications in statistics. Simulation and computation, 1988-01, Vol.17 (3), p.1037-1054 |
| issn | 0361-0918 1532-4141 |
| language | eng |
| recordid | cdi_pascalfrancis_primary_7178370 |
| source | Taylor & Francis |
| subjects | AIC ARMA model C(α) tests consistency Exact sciences and technology Inference from stochastic processes time series analysis Mathematics Probability and statistics SBIC Sciences and techniques of general use specification strategy Statistics testing time series |
| title | A specification strategy for order determination in arma models |
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