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The identification of ARMA processes

Published online by Cambridge University Press:  14 July 2016

An Hong-Zhi  and
Chen Zhao-Guo
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Abstract

This paper presents a review of recent results for the identification of ARMA processes according to the principles introduced by Akaike, i.e. assuming that the true orders exist and proposing criteria such as AIC and BIC. The development both of these methods and of consistency theory has been led by E. J. Hannan.

Keywords

AICBICESTIMATE OF ARMA ORDERSUBSET FITTINGSTRONG CONSISTENCY

Information

Type
Part 2—Estimation for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 75 - 87
Copyright
Copyright © 1986 Applied Probability Trust 

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References

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