Author | Choi, ByoungSeon. author |
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Title | ARMA Model Identification [electronic resource] / by ByoungSeon Choi |
Imprint | New York, NY : Springer US, 1992 |
Connect to | http://dx.doi.org/10.1007/978-1-4613-9745-8 |
Descript | XII, 200 p. online resource |
1 Introduction -- 1.1 ARMA Model -- 1.2 History -- 1.3 Algorithms -- 1.4 Estimation -- 1.5 Nonstationary Processes -- 1.6 Additional References -- 2 The Autocorrelation Methods -- 2.1 Box and Jenkinsโ Method -- 2.2 The Inverse Autocorrelation Method -- 2.3 Additional References -- 3 Penalty Function Methods -- 3.1 The Final Prediction Error Method -- 3.2 Akaikeโs Information Criterion -- 3.3 Generalizations -- 3.4 Parzenโs Method -- 3.5 The Bayesian Information Criterion -- 3.6 Hannan and Quinnโs Criterion -- 3.7 Consistency -- 3.8 Some Relations -- 3.9 Additional References -- 4 Innovation Regression Methods -- 4.1 AR and MA Approximations -- 4.2 Hannan and Rissanenโs Method -- 4.3 Koreisha and Pukkilaโs Method -- 4.4 The KL Spectral Density -- 4.5 Additional References -- 5 Pattern Identification Methods -- 5.1 The 3-Pattern Method -- 5.2 The R and S Array Method -- 5.3 The Corner Method -- 5.4 The GPAC Methods -- 5.5 The ESACF Method -- 5.6 The SCAN Method -- 5.7 Woodsideโs Method -- 5.8 Three Systems of Equations -- 5.9 Additional References -- 6 Testing Hypothesis Methods -- 6.1 Three Asymptotic Test Procedures -- 6.2 Some Test Statistics -- 6.3 The Portmanteau Statistic -- 6.4 Sequential Testing Procedures -- 6.5 Additional References