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Line 85: ===Choosing p and q=== Finding appropriate values of ''p'' and ''q'' in the ARMA(''p'',''q'') model can be facilitated by plotting the [[partial autocorrelation function]]s for an estimate of ''p'', and likewise using the [[autocorrelation function]]s for an estimate of ''q''. Extended autocorrelation functions (EACF) can be used to ~~simutaneously~~simultaneously determine p and q.<ref>{{Cite web\|last=Missouri State University\|title=Model Specification, Time Series Analysis\|url=http://people.missouristate.edu/songfengzheng/Teaching/MTH548/Time%20Series-ch06.pdf}}</ref> Further information can be gleaned by considering the same functions for the residuals of a model fitted with an initial selection of ''p'' and ''q''. Brockwell & Davis recommend using [[Akaike information criterion]] (AIC) for finding ''p'' and ''q''.<ref>{{cite book \|last=Brockwell \|first=P. J. \|last2=Davis \|first2=R. A. \|title=Time Series: Theory and Methods \|edition=2nd \|publisher=Springer \|___location=New York \|year=2009 \|page=273 \|isbn=9781441903198 }}</ref> Another possible choice for order determining is the [[Bayesian information criterion\|BIC]] criterion. ===Estimating coefficients===

Autoregressive moving-average model: Difference between revisions