Order identification for Gaussian moving averages using the covariation

Journal of Statistical Computation and Simulation

Volumn 72, Issue 4, 2002, Pages 279-283

  Gallagher, Colin M ^a  

^a CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

Moving average; Order identification; Time series

Indexed keywords

EID: 0038149441     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650212845     Document Type: Article

References (5)

1. Brockwell, P. J. and Davis, R. A. (1991). Time Series: Theory and Methods, 2nd ed. Springer, New York.
2. Cambanis, S. and Miller, G. (1981). Linear problems in pth order and stable processes. SIAM J. Appl. Math., 41, 43-69.
3. Gallagher, C. (2000). Estimating the autocovariation from stationary heavy-tailed data, with applications to time series modeling. Journal of Time Series Analysis (submitted).
4. Gallagher, C. (2001). A method for fitting stable autoregressive models using the autocovariation function. Statistics and Probability Letters.
5. Nikias, C. L. and Shao, M. (1995). Signal Processing with Alpha-Stable Distributions and Applications. Wiley, New York.