论文信息 - Estimating the order of moving average models: the max X2 method

Estimating the order of moving average models: the max X2 method

The max X2 technique for estimating rhe order of autoregressive processes (McClave (1976)) is extended to moving average models. The autoregressive-moving average duality is exploited by using the inverse autocorrelation function and the subset autoregression algorithm. The technique is demonstrated via simulations, and is applied to Box and Jenkins (1970) Series A.

James T. McClave

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