On the Relationship between the R and S Arrays and the Box-Jenkins Method of ARMA Model Identification.

摘要

In this paper an extension of the partial autocorrelation function which we call the generalized partial autocorrelation function is investigated. This generalized partial autocorrelation function is useful in examining the relationship between the R- and S-array method of Gray, Kelley, and McIntire and the Box-Jenkins approach to ARMA model identification. Also the generalized partial autocorrelation is shown to be a useful model identification tool to be used along with the R- and S-arrays. Also discussed is a reformatting of the S-array into the Shifted S-array which the authors believe to be easier to use in practice than the S-array. The methods of this paper are illustrated by means of examples including an analysis of the Makridakis metals series data. (Author)