Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models-Reference-Cited by-同舟云学术

Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models

Published:1984-03 Issue:385 Volume:79 Page:84-96
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Tsay Ruey S.,Tiao George C.

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/01621459.1984.10477068

Reference21 articles.

1. A new look at the statistical model identification

2. Beguin, J. M., Gourieroux, C. and Monfort, A. 1980.“Identification of a Mixed Autoregressive-moving Average Process: The Corner Method,”, Edited by: Anderson, O. D. 423–436. Amsterdam: North-Holland. inTime Series

3. Inverse Autocorrelations

4. The Fitting of Time-Series Models

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