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)
  • 발행 : 1996.12.01

초록

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.

키워드

참고문헌

  1. Journal of Time Series Analysis v.12 On the asymptotic distribution of the generalized partial autocorrelation function in sutoregressive moving-average processes Choi, B. S.
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