Identification of moving average process with infinite variance

Dedi Rosadi

Statistics & Probability Letters, 2007, vol. 77, issue 14, 1490-1496

Abstract: In the traditional Box-Jenkins modelling procedure, we use the sample autocorrelation function as a tool for identifying the plausible models for empirical data. In this paper, we consider the sample normalized codifference as a new tool for the preliminary order identification of moving average process with infinite variance. From simulation studies, we find that the proposed method may perform as well as the Rosenfeld's [1976. Identification of time series with infinite variance. Appl. Statist. 25, 147-153.] method.

Keywords: Moving; average; Infinite; variance; Order; identification; Sample; normalized; co-difference (search for similar items in EconPapers)
Date: 2007
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