论文信息 - Some restrictions on the use of corner method hypothesis tests

Some restrictions on the use of corner method hypothesis tests

Beguin et al (1980) introduced the Corner Method as a tool for identifying the order (p,q) of an ARMA proc.ess. In addition they derived approximate hypothesis tests,based on asymptotic theory, to aid in the identification. We show that there are restrictions implicit in the use of these tests which, if violated,could yield spurious results.

Neville Davies | Joseph D. Petruccelli

[1] Gwilym M. Jenkins,et al. Time series analysis, forecasting and control , 1972 .

[2] H. L. Gray,et al. On the Relationship between the S Array and the Box-Jenkins Method of ARMA Model Identification , 1981 .

[3] Gwilym M. Jenkins,et al. SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES , 1981 .

[4] George E. P. Box,et al. Time Series Analysis: Forecasting and Control , 1977 .

[5] Henry L. Gray,et al. A New Approach to ARMA Modeling. , 1978 .

[6] C. A. Glasbey. A Generalization of Partial Autocorrelations Useful in Identifying ARMA Models , 1982 .