A significance test for classifying ARMA models

Journal of Statistical Computation and Simulation

Volumn 54, Issue 4, 1996, Pages 305-331

  Maharaj, Elizabeth Ann ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

ARMA models; Significance test; Time series

Indexed keywords

EID: 0002115641     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949659608811737     Document Type: Article

References (7)

1. Berk, K.M. (1974). Consistent Autoregressive Spectral estimates, The Annals of Statistics, 2 (3) 489-502.
2. Bhansali, R. J. (1978). Linear Prediction by Autogressive Model Fitting in the Time Domain. The Annals of Statistics, 6 (1) 224-23.
3. Bohte, Z., Cepar, D. and Kosmelu, K. (1980). Clustering of Time Series, Compstat, 80, 587-593.
4. Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis: Forcasting and Control. San Francisco, CA: Holden Day.
5. Piccolo, D. (1990). A Distance Measure for classifying ARMA Models. Journal of Time Series, 11(2) 153-164.
6. Shaw, C. T. and King, G. P. (1992). Using Cluster Analysis to Classify Time Series. Physica D Non Linear Phenomena, 58, 288-298.
7. Tong, H. and Dabas, P. (1990). Cluster of Time Series models: An Example: Journal of Applied Statistics, 17 (2) 187-198.