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Identification of moving average process with infinite variance

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  • Rosadi, Dedi

Abstract

In the traditional Box-Jenkins modelling procedure, we use the sample autocorrelation function as a tool for identifying the plausible models for empirical data. In this paper, we consider the sample normalized codifference as a new tool for the preliminary order identification of moving average process with infinite variance. From simulation studies, we find that the proposed method may perform as well as the Rosenfeld's [1976. Identification of time series with infinite variance. Appl. Statist. 25, 147-153.] method.

Suggested Citation

  • Rosadi, Dedi, 2007. "Identification of moving average process with infinite variance," Statistics & Probability Letters, Elsevier, vol. 77(14), pages 1490-1496, August.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:14:p:1490-1496
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    1. Gerald Rosenfeld, 1976. "Identification of Time Series with Infinite Variance," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 147-153, June.
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