ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION

R. J. Bhansali

Journal of Time Series Analysis, 1983, vol. 4, issue 3, 137-162

Abstract: Abstract. The autoregressive and window estimates of the inverse correlation function are used for estimating the order of a finite moving average process by using criteria similar to the FPEα criterion of Bhansali and Downham (1977). The asymptotic distribution of the estimates is derived. Their finite sample behaviour is examined by means of a simulation study.

Date: 1983
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