Automatic model identification using vector sample autocorrelation function
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 15 (4) , 1147-1161
- https://doi.org/10.1080/03610918608812566
Abstract
One of the weaknesses of the ESACF approach for model identification by Tsay and Tiao(1984) is the ambiguity which can be caused by the elements which are in triangle but marginally larger than two standard deviation values. To avoid this drawback, a vector sample autocorrelaton function (VSACF) is defined and an automatic model identification procedure using the VSACF is developed. We illustrate this approach with four examples.Keywords
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