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On the recursive fitting of subset autoregressive-moving average process

On the recursive fitting of subset autoregressive-moving average process For fitting data with an ARMA model, the major topic we come cross is how to determine the order (p, q). More over we may wish to search for a subset ARMA model. This paper offers a recursive procedure for this purpose, it is computationally very cheap. If the data are generated truly by a subset ARMA model, then the procedure can be proved to give a consistent identification. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

On the recursive fitting of subset autoregressive-moving average process

Acta Mathematicae Applicatae Sinica , Volume 2 (1) – Apr 26, 2005

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Publisher
Springer Journals
Copyright
Copyright © 1985 by Science Press and D. Reidel Publishing Company
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF01666517
Publisher site
See Article on Publisher Site

Abstract

For fitting data with an ARMA model, the major topic we come cross is how to determine the order (p, q). More over we may wish to search for a subset ARMA model. This paper offers a recursive procedure for this purpose, it is computationally very cheap. If the data are generated truly by a subset ARMA model, then the procedure can be proved to give a consistent identification.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Apr 26, 2005

References