Communications for Statistical Applications and Methods

  • 제3권3호
  • /
  • Pages.47-58
  • /
  • 1996
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

A Comparative Study of the GPAC Method and the 3-pattern Method for Identifying ARMA Processes

  • Chul Eung KIM (Assistant Professor, Department of Applied Statistics, Yonsei University, Seoul 120-749, Korea) ;
  • ByoungSeon CHOI (Professor, Department of Applied Statistics, Yonsei University, Seoul, 120-749, Korea)
  • 발행 : 1996.12.01
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초록

The generalized partial autocorrelation (GPAC) method of Woodward and Gray (1981) and the 3-pattern method of Choi (1991) have been used for identifying ARMA processes. The methods are based on the extended Yule-Walker equations. The purpose of this paper is to show the 3-pattern method is superior to the GPAC method through theoretical analysis and computer simulations.

키워드

참고문헌

  1. Journal of Time Series Analysis v.12 On the asymptotic distribution of the generalized partial autocorrelation function in sutoregressive moving-average processes Choi, B. S.
  2. ARMA Model Identification Choi, B. S.
  3. IEEE Transactions on Signal Processing v.41 Two chi-square statistics for determining the orders p and q of an ARMA (p,q) process Choi, B. S.
  4. Journal of the Japan Statistical Society v.24 no.1 The asymptotic distributions of the θ, λ and η function estimates for identifying a mixed ARMA process Choi, B. S.
  5. Journal of the American Statistical Association v.79 On the use of the general partial autocorrelation function for order determination in ARMA(p,q) processes Davies, N.;J. D. Petruccelli
  6. Journal of Time Series Analysis v.2 Some aspects of modeling and forecasting multivariate time series Jenkins. G. M.;A. S. Alavi
  7. Journal of Time Series Analysis v.4 On q-conditioned partial correlations Newbold, P.;T. Bos
  8. Journal of the American Statistical Association v.76 On the relationship between the s array and the Box-Jenkins method of ARMA model identification Woodward;W. A.;H. L. Gray