Order identification for Gaussian moving averages using the codifference function

Journal of Statistical Computation and Simulation

Volumn 76, Issue 6, 2006, Pages 553-559

  Rosadi, Dedi ^a  

^a GADJAH MADA UNIVERSITY   (Indonesia)

Author keywords

Moving average; Order identification; Sample normalized codifference

Indexed keywords

EID: 33744992713     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/10629360500107584     Document Type: Article

References (4)

1. Choi, B .S., 1992, ARMA Model Identification (New York: Springer Verlag).
2. Gallagher, C., 2002, Order identification for Gaussian moving averages using the covariation. Journal of the Statistical Computation and Simulation, 72(4), 279-283.
3. Gallagher, C., 2000, Estimating the autocovariation functions with application to heavy-tailed ARMA modeling. Technical report, Department of Mathematical Sciences, Clemson University.
4. Rosadi, D. and Deistler, M., 2004, Estimating the codifference function of linear time series models with infinite variance. Technical report, Institute for Mathematical Methods in Economics, Research Unit Econometrics and System Theory, Vienna University of Technology. Available on the Web at http://dedirosadi.staff.ugm.ac.id/paper/codifference.pdf