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Original Articles

On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example

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Pages 133-139 | Published online: 20 Aug 2006

References

References

  • Anderson , OD . 1993a . Exact general-lag serial correlation moments and approximate low-lag correlation moments for Guassian white noise . Journal of Time Series Analysis , 14 : 551 – 74 .
  • Anderson , OD . 1993b . Approximate moments to O(n −2) for the sampled partial autocorrelations from a white noise process . Computational Statistics and Data Analysis , 16 : 405 – 21 .
  • Box GEP Jenkins GM 1976 Time Series Analysis, Forecasting and Control, Holden Day San Francisco
  • Harvey AC 1981 Time Series Models, Philip Allan Oxford
  • Priestley MB 1981 Spectral Analysis and Time Series, Academic Press Florida
  • Quenouille , MH . 1949 . The joint distribution of serial correlation coefficients . Annals of Mathematical Statistics , 20 : 561 – 71 .

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