Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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An Algorithm for Hannan and Rissanen's ARMA Modeling Method

  • Chul Eung Kim (Department of Applied Statistics, Yonsei University, Seoul 120-749, KOREA) ;
  • Byoung Seon Choi (Department of Applied Statistics, Yonsei University, Seoul 120-749, KOREA)
  • Published : 1995.12.01
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Abstract

Hannan and Rissanen proposed an innovation regression method of ARMA modeling, which is composed of three stages. Its second-stage is to choose orders of the ARMA model using the BIC, which needs a lot of calculation to estimate several regression models. We are going to present a simple and efficient algorithm for the second stage using a special property of triangular Toeplitz matrices.

Keywords

References

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