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1978•Communication in Statistics- Theory and MethodsRequires access

Estimating the order of moving average models: the max X2method

James T. McClave

Open publisher page 9 citations

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.

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What this paper is about

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.

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Available 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.

Key concepts: Autocorrelation, Moving-average model, Autoregressive model, Moving average, Autoregressive–moving-average model, Box–Jenkins, Autoregressive integrated moving average, Series (stratigraphy)

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