Identification of a univariate ARMA model (Q1965949): Difference between revisions

The authors study relationships between the corner method, the epsilon-algorithm, the method of \textit{C.A. Glasbey} [see Biometrika 73, 447-453 (1986; Zbl 0608.62106); Biometrics 36, 135-140 (1980; Zbl 0424.62063)], and the w-algorithm for identifying orders of autoregressive moving average (ARMA) models. By deriving suitable expressions for the asymptotic distributions of the statistics involved, the authors improve the reliability of these methods and apply them simultaneously to automatic order selection within a single programme to make sure their general agreement.