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Uso de la función de correlación cruzada en la identificación de modelos ARMA Use of the Crosscorrelation Function in the Identification of ARMA Models
The sample cross-correlation function (SCCF) has been used to study the strength and direction of the linear relation between two jointly stationary stochastic processes. Rosales (2004) and Castano (2005) show that the cross-correlation function between a stationary process and the residuals of an estimated preliminary model can be used as an additional diagnostic tool, for the identification of an appropriate ARMA(p, q) model, for the generating process of the series. The purpose of this article is to show that the
Tópico:
Advanced Statistical Methods and Models
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FuenteDOAJ (DOAJ: Directory of Open Access Journals)
