Automatic model identification using vector sample autocorrelation function

Abstract

One of the weaknesses of the ESACF approach for model identification by Tsay and Tiao(1984) is the ambiguity which can be caused by the elements which are in triangle but marginally larger than two standard deviation values. To avoid this drawback, a vector sample autocorrelaton function (VSACF) is defined and an automatic model identification procedure using the VSACF is developed. We illustrate this approach with four examples.

Keywords:

• extended sample autocorrelation function
• iterated regression estimates
• model identification
• autoregressive-moving average process