On the Relationship between the R and S Arrays and the Box-Jenkins Method of ARMA Model Identification.

Abstract

In this paper an extension of the partial autocorrelation function which we call the generalized partial autocorrelation function is investigated. This generalized partial autocorrelation function is useful in examining the relationship between the R- and S-array method of Gray, Kelley, and McIntire and the Box-Jenkins approach to ARMA model identification. Also the generalized partial autocorrelation is shown to be a useful model identification tool to be used along with the R- and S-arrays. Also discussed is a reformatting of the S-array into the Shifted S-array which the authors believe to be easier to use in practice than the S-array. The methods of this paper are illustrated by means of examples including an analysis of the Makridakis metals series data. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jul 25, 1979
Accession Number
ADA072934

Entities

People

  • H. L. Gray
  • Wayne A. Woodward

Organizations

  • Southern Methodist University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Autocorrelation
  • Coefficients
  • Data Science
  • Elements
  • Equations
  • Identification
  • Information Science
  • Inspection
  • Mathematical Analysis
  • Mathematics
  • Metals
  • New York
  • Stationary
  • Statistical Analysis
  • Statistics
  • Three Dimensional
  • Universities

Fields of Study

  • Mathematics

Readers

  • Statistical inference.