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Technometrics Volume 24, 1982 - Issue 3
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Original Articles

A Generalization of Partial Autocorrelations Useful in Identifying ARMA Models

C. A. Glasbey ARC Unit of Statistics University of Edinburgh, Edinburgh, EH9 3JZ, Scotland
Pages 223-228 | Published online: 23 Mar 2012

Citations (18)

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Read on this site (5)

R. H. Glendinning. (1998) Determining the order of an arm a model from outlier contaminated data. Communications in Statistics - Theory and Methods 27:1, pages 13-40.
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Efstathios Paparoditis. (1993) A comparison of some autocovariance-based methods of arma model selection: a simulation study. Journal of Statistical Computation and Simulation 45:1-2, pages 97-120.
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Sergio Koreisha & Tarmo Pukkila. (1990) Linear Methods for Estimating Arma and Regression Models with Serial Correlation. Communications in Statistics - Simulation and Computation 19:1, pages 71-102.
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Fahimeh Rezayat & Anandalingam G. (1988) Using instrumental variables for selecting the order of arma models. Communications in Statistics - Theory and Methods 17:9, pages 3029-3065.
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Joseph D. Petruccelli & Neville Davies. (1984) Some restrictions on the use of corner method hypothesis tests. Communications in Statistics - Theory and Methods 13:5, pages 543-551.
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Articles from other publishers (13)

Jatinder Kaur, Kulwinder Singh Parmar & Sarbjit Singh. (2023) Autoregressive models in environmental forecasting time series: a theoretical and application review. Environmental Science and Pollution Research 30:8, pages 19617-19641.
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Christian Francq & Jean‐Michel Zakoian. 2019. GARCH Models. GARCH Models 467 484 .
Christian Francq & Jean‐Michel Zakoïan. 2010. GARCH Models. GARCH Models 473 486 .
JOANN JASIAK. (2003) First‐Order Autoregressive Processes with Heterogeneous Persistence. Journal of Time Series Analysis 24:3, pages 283-309.
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Sergio G. Koreisha & Tarmo M. Pukkila. (1993) New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models. Journal of Statistical Planning and Inference 36:2-3, pages 399-412.
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B. Choi. (1993) Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process. IEEE Transactions on Signal Processing 41:6, pages 2165-2176.
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Efstathios Paparoditis & Bernd Streitberg. (2008) ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP. Journal of Time Series Analysis 13:5, pages 415-434.
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Byoung Seon Choi. (2008) ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES. Journal of Time Series Analysis 12:3, pages 193-205.
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Sergio Koreisha & Tarmo Pukkila. (2008) A GENERALIZED LEAST‐SQUARES APPROACH FOR ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS. Journal of Time Series Analysis 11:2, pages 139-151.
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. 1986. Forecasting Economic Time Series. Forecasting Economic Time Series 317 330 .
Pham Dinh Tuan. (2008) A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL. Journal of Time Series Analysis 5:4, pages 273-279.
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D. Piccolo & G. Tunnicliffe Wilson. (2008) A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION. Journal of Time Series Analysis 5:3, pages 183-204.
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P. Newbold & T. Bos. (2008) ON q ‐CONDITIONED PARTIAL CORRELATIONS . Journal of Time Series Analysis 4:1, pages 53-55.
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