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ARMA Model Identification

  • Book
  • © 1992

Overview

Authors:
  1. ByoungSeon Choi

    1. Department of Applied Statistics, Yonsei University, Seoul, Korea

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Part of the book series: Springer Series in Statistics (SSS)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xi
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  2. Introduction

    • ByoungSeon Choi
    Pages 1-28

  3. The Autocorrelation Methods

    • ByoungSeon Choi
    Pages 29-42

  4. Penalty Function Methods

    • ByoungSeon Choi
    Pages 43-74

  5. Innovation Regression Methods

    • ByoungSeon Choi
    Pages 75-100

  6. Pattern Identification Methods

    • ByoungSeon Choi
    Pages 101-137

  7. Testing Hypothesis Methods

    • ByoungSeon Choi
    Pages 139-148

  8. Back Matter

    Pages 149-201
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Keywords

About this book

During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.

Authors and Affiliations

  • Department of Applied Statistics, Yonsei University, Seoul, Korea

    ByoungSeon Choi

Bibliographic Information

  • Book Title: ARMA Model Identification

  • Authors: ByoungSeon Choi

  • Series Title: Springer Series in Statistics

  • DOI: https://doi.org/10.1007/978-1-4613-9745-8

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Applied Probability Trust 1992

  • Softcover ISBN: 978-1-4613-9747-2Published: 19 March 2012

  • eBook ISBN: 978-1-4613-9745-8Published: 06 December 2012

  • Series ISSN: 0172-7397

  • Series E-ISSN: 2197-568X

  • Edition Number: 1

  • Number of Pages: XII, 200

  • Topics: Applications of Mathematics

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