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AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA OECONOMICA - Issue no. 2 / 2001 | |||||||
Article: |
CRITERIA FOR AUTOMATIC SPECIFICATION OF ARMA MODELS. Authors: O. PRELOUCEC. |
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Abstract: Criteria for Automatic Specification of ARMA Models. Econometrical modelling of stochastic processus by using ARMA and ARIMA models is extremely useful for getting short term forecasting with a little variation of prediction error. Clasical models used for the determination of the autoregressive and moving average processus� order by using the autocorrelation and partial autocorrelation function presents the disadvantage of a succesive specification of the model and implicitly a greater amount of work due to repeated testing of parameters and residuals. To solve this problem Akaike, Parzen and Scwarz have established a range of criteria based on maximization of the likelyhood log function which permit automatic specification of ARMA processus� order by searching that order for which the mentioned criteria reach the minimal values. | |||||||
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