A comparison of some of pattern identifi
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Wai-Sum Chan
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Article
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1999
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Elsevier Science
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English
β 104 KB
Model identiΓΏcation is a crucial step in time-series modelling. The orthodox Box-Jenkins (BJ) identiΓΏcation examines the patterns of the sample autocorrelation function (SACF) and the sample partial autocorrelation function (SPACF). However, for mixed ARMA processes, the SACF and SPACF often exhibit