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ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
Author(s) -
Bhansali R. J.
Publication year - 1983
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1983.tb00365.x
Subject(s) - mathematics , autoregressive model , inverse , statistics , star model , function (biology) , moving average model , autocorrelation , window (computing) , correlation , econometrics , autoregressive integrated moving average , time series , computer science , geometry , evolutionary biology , biology , operating system
. The autoregressive and window estimates of the inverse correlation function are used for estimating the order of a finite moving average process by using criteria similar to the FPEα criterion of Bhansali and Downham (1977). The asymptotic distribution of the estimates is derived. Their finite sample behaviour is examined by means of a simulation study.