ON q-CONDITIONED PARTIAL CORRELATIONS

In attempting to develop a procedure for fitting linear multiple autoregressive-moving average models to observed data, perhaps the most difficult problem is to achieve a reasonable initial model selection. A recent paper by Jenkins and Alavi suggests, as one possibility, the examination of so-called q-conditioned partial correlations. We show that the sampling properties of these statistics are such as to render them of dubious value for this purpose.