LI Guibin, . COMPARISON OF VARIOUS ESTIMATES OF DIFFERENCING ORDER IN AN ARIMA MODEL[J]. Chinese Journal of Applied Probability and Statistics, 1994, 10(4): 353-362.
Citation:
LI Guibin, . COMPARISON OF VARIOUS ESTIMATES OF DIFFERENCING ORDER IN AN ARIMA MODEL[J]. Chinese Journal of Applied Probability and Statistics, 1994, 10(4): 353-362.
LI Guibin, . COMPARISON OF VARIOUS ESTIMATES OF DIFFERENCING ORDER IN AN ARIMA MODEL[J]. Chinese Journal of Applied Probability and Statistics, 1994, 10(4): 353-362.
Citation:
LI Guibin, . COMPARISON OF VARIOUS ESTIMATES OF DIFFERENCING ORDER IN AN ARIMA MODEL[J]. Chinese Journal of Applied Probability and Statistics, 1994, 10(4): 353-362.
COMPARISON OF VARIOUS ESTIMATES OF DIFFERENCING ORDER IN AN ARIMA MODEL
In this paper, we consider various estimates of differencing order in an ARIMA model, and these estimates are explained to have good asymptotic properties. In addition, we investigate their behaviour when the sample size is small by using Monte Oarlo simulation studies.
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