Premium
A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL
Author(s) -
Tuan Pham Dinh
Publication year - 1984
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.1467-9892.1984.tb00393.x
Subject(s) - autoregressive model , mathematics , autoregressive–moving average model , statistics , star model , moving average , autoregressive integrated moving average , order statistic , order (exchange) , econometrics , moving average model , time series , finance , economics
. Several recursive relations concerning some statistics useful in identifying the order of autoregressive moving average are derived and the asymptotic behaviour of these statistics are studied.