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
Hauptverfasser:	de Gooijer, Jan G., Saikkonen, Pentti
Format:	Artikel
Sprache:	eng
Schlagworte:	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
Online-Zugang:	Volltext
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