A comparison of some of pattern identification methods for order determination of mixed ARMA models

Author:

Chan Wai-Sum

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference18 articles.

1. Beguin, J.M., Gourieroux, C., Monfort, A., 1980. Identification of a mixed autoregressive-moving average process: the corner method. In: Anderson, O.D. (Ed.), Time Series. North-Holland, Amsterdam.

2. Box, G.E.P., Jenkins, G.M., 1976. Time Series Analysis, Forecasting and Control, 2nd ed. Holden-Day, San Francisco.

3. Choi, B., 1992. ARMA Model Identification. Springer, New York.

4. On the use of the general partial autocorrelation function for order determination in ARMA (p,q) processes;Davies;J. Amer. Statist. Assoc.,1984

5. Gooijer, J.G., Heuts, R.M.J., 1981. The corner method: an investigation of an order determination procedure for general ARMA processes. J. Oper. Res. Soc. 32, 1039–1046.

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