Utilizing Complex-Values S-Arrays in the Modeling of ARMA Processes.
SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS
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The problem of estimating order, p,q of an ARMA p,q process is considered. An extension of the Gray, Kelley, and McIntire 1978 method of estimating p,q is proposed and shown to be particularly useful for processes whose spectra have a certain form. Simulated data is used to illustrate the usefulness of the extension. Author
- Statistics and Probability