Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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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)
  • Published : 1996.12.01
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Abstract

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.

Keywords

References

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