Accession Number:

ADA109533

Title:

Utilizing Complex-Values S-Arrays in the Modeling of ARMA Processes.

Descriptive Note:

Technical rept.,

Corporate Author:

SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS

Personal Author(s):

• Hart,Jeffrey D.
• Gray,Henry L.

Report Date:

1981-12-01

Pagination or Media Count:

29.0

Abstract:

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

Descriptors:

• *STATISTICAL TESTS
• *MATRICES(MATHEMATICS)
• *ARRAYS
• STOCHASTIC PROCESSES
• TIME SERIES ANALYSIS
• AUTOCORRELATION
• TRANSFORMATIONS(MATHEMATICS)
• FITTING FUNCTIONS(MATHEMATICS)
• THEOREMS

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE