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ARMA Model Identification

  • ByoungSeon¬†Choi

Part of the Springer Series in Statistics book series (SSS)

Table of contents

  1. Front Matter
    Pages i-xi
  2. ByoungSeon Choi
    Pages 1-28
  3. ByoungSeon Choi
    Pages 29-42
  4. ByoungSeon Choi
    Pages 43-74
  5. ByoungSeon Choi
    Pages 75-100
  6. ByoungSeon Choi
    Pages 101-137
  7. ByoungSeon Choi
    Pages 139-148
  8. Back Matter
    Pages 149-201

About this book

Introduction

During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.

Keywords

Area Likelihood algorithms approximation derivation distribution form functions history of mathematics identification information patterns statistics testing validation

Authors and affiliations

  • ByoungSeon¬†Choi
    • 1
  1. 1.Department of Applied StatisticsYonsei UniversitySeoulKorea

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4613-9745-8
  • Copyright Information Springer-Verlag New York 1992
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4613-9747-2
  • Online ISBN 978-1-4613-9745-8
  • Series Print ISSN 0172-7397
  • Buy this book on publisher's site