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Robust Identification of Autoregressive Moving Average Models
Author(s) -
Masarotto G.
Publication year - 1987
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347553
Subject(s) - autoregressive model , autoregressive–moving average model , identification (biology) , econometrics , autoregressive integrated moving average , mathematics , star model , statistics , computer science , time series , botany , biology
SUMMARY We introduce a class of robust estimates for the partial autocorrelation function of a univariate stationary time series and show that it is possible to produce an estimate of the autocorrelation function from the estimated partial autocorrelation coefficients. These statistics seem suitable for the preliminary identification of the order, p and q of an ARMA ( p, q ) model when the observed series contains a few aberrant observations.