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Explicit Equations for ACF in Autoregressive Processes In the Presence of Heteroscedasticity Disturbances
The autocorrelation function, ACF, is an important guide to the properties of a time series. Explicit equations are derived for ACF in the presence of heteroscedasticity disturbances in pth order autoregressive, AR (p), ...
ON SELECTION OF AUTOREGRESSIVE ORDER IN CASE OF INCORRECTLY MODEL SPECIFICATION
The purpose of this paper is to compare different autoregressive models performance in case of incorrectly model order determination. The autoregressive models are selected based on four important information criteria: the ...