17
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

A comparison of some autocovariance-based methods of arma model selection: a simulation study

Pages 97-120 | Received 21 Aug 1991, Published online: 30 Mar 2007

References

  • Abraham , B. , Gould , A. and Robinson , L. 1983 . Specifications of time series models—a review . American Statistical Association; Proceedings of the Business and Economic section . 1983 .
  • Beguin , J.M. , Gourieroux , C. and Monfort , A. 1980 . “ Identification of a mixed autoregressive-moving average process:The corner method ” . In Time Series , Edited by: Andersen , O.D. 423 – 36 . Amsterdam : North-Holland . I
  • Box , G.E.P. and Jenkins , G.M. 1976 . Time series analysis, forecasting and control , San Francisco : Holden-Day .
  • Bratley , P. , Fox , B.L. and Schrage , L.E. 1983 . A guide to simulation , New York : Springer .
  • Engeln-MÜllges G. Reutter F. Formelsammlung zur nummerischen Mathematik mit Stan-dard-FORTRAN 77 Programmen Wissenschaftsverlag Mannheim: 1988
  • Davies , N. and Petruccelli , J.D. 1984 . On the use of the general partial autocorrelation function for order determination in AKMA(p,q) processes . Journal of the American Statistical Society , 79 : 374 – 377 .
  • Glasbey , C.A. 1982 . A generalization of partial autocorrelation useful in identifying ARMA models . Technometries , 24 : 223 – 228 .
  • Gooijer , J.de , Abraham , B. , Gould , A. and Robinson , L. 1985 . Methods for determining to order of an autoregressive-moving average process: a survey . International Statistical Review , 53 : 301 – 329 .
  • Gray , H.L. , Kelley , G.D. and Mclntire , D.D. 1978 . A new approach to ARMA modeling . Communications in Statistics , B 7 : 1 – 77 .
  • Jeon , T.J. and Park , S.J. 1986 . Automatic model identification using vector sample autocorrelation function . Communications in Statistics-Simulations , 15 : 1141 – 1161 .
  • Koreisha , S. and Yoshimoto , G. 1991 . A comparison among identification procedures for autoregressive moving average models . International Statistical Review , 59 : 37 – 57 .
  • Mareschal , B. and Mélard , G. 1988 . The corner method for identifying autoregressive moving average models . Applied Statistics , 37 : 301 – 316 .
  • Mcleod , A.I. and Hipel , K.W. 1978 . Simulation procedures for Box-Jenkins models . Water Resources Research , 14 : 969 – 975 .
  • MéLard , G. and Roy , R. 1987 . On confidence intervals and tests for autocorrelations . Computational Statistics & Data Analysis , 5 : 31 – 44 .
  • Newbold , P. and Bos , T. 1983 . On q-conditioned partial correlations . Journal of Time Series Analysis , 4 : 53 – 55 .
  • Nguyen , H. and Jernigan , W.R. 1983 . Asymptotic properties of the R and S array for ARMA(l,g) time series . American Statistical Association, Proceedings of the Business and Economic Statistics Section . 1983 . pp. 375 – 380 .
  • Paparoditis E. Streitberg B. Order identification statistics in stationary ARMA models: Vector autocorrelations and the bootstrap Journal of Time Series Analysis 1991a forthcoming
  • Paparoditis E. Streitberg B. A vector generalization of the autocorrelation and partial autocorrelation function of a time series 1991b Preprint
  • Pukkila , T. , Koreisha , S. and Kallinen , A. 1990 . The identifikation of ARMA models . Biometrika , 77 : 537 – 548 .
  • Rezayat , F. and Anandalingam , G. 1988 . Using instrumental variables for selecting the order of RMA models . Communications in Statistics—Theory & Methods , 17 : 3029 – 3065 .
  • Takemura , A. 1984 . A generalization of the autocorrelation and partial autocorrelation functions useful for identification of ARMA(p,q) processes , 84 – 16 . Purdue University . Technical Report, Department of Statistics
  • Tsay , R. and Tiao , G.C. 1984 . Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models . Journal of the American Statistical Association , 79 : 84 – 95 .
  • Tsay , R. and Tiao , G.C. 1985 . Use of canonical analysis in time series model identification . Biometrika , 72 : 299 – 316 .
  • Woodward , W.A. and Gray , H.L. 1981 . On the relationship between the 5-array and the Box-Jenkins method of ARMA model identification . Journal of the American Statistical Association , 76 : 579 – 587 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.