Estimating the order of moving average models: the max X2 method |
| |
| Authors: | James T. McClave |
| |
| Affiliation: | University of Florida , Gainesville, Florida |
| |
| Abstract: | The max X2 technique for estimating rhe order of autoregressive processes (McClave (1976)) is extended to moving average models. The autöregressive-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. |
| |
| Keywords: | time series: subset models order selection |
|
|
