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st: Re: extended sample autocorrelation function (ESACF)?


From   Roland Geier <mail@roland-geier.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: extended sample autocorrelation function (ESACF)?
Date   Tue, 20 Apr 2010 10:10:03 +0200 (CEST)

sorry, the precise literature link is::

Tsay, R.S. and Tiao, G.C. (1984). Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models. Journal of the American Statistical Association 79, 84-96

Short descriptions of the ESACF method can be found here:

http://163.117.2.172/jgonzalo/teaching/timeseriesMA/IdentificationWei.pdf
http://www.colostate.edu/Services/ACNS/swmanuals/sasdoc/sashtml/ets/chap7/sect28.htm

regards

-- 
Roland
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