Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process

DOI10.2307/1403576MaRDI QIDQ3982313zbMATH OpenOpenAlexFDO

Authors R. J. Bhansali

Publication date 26 June 1992

Published in International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1403576

zbMATH Keywords

Akaike information criterionautoregressive moving average processbiasBIC criterionconsistent recursive estimationfinal prediction error criterionfinite sample behaviourHannan-Rissanen procedurelikelihood-based procedure of order selectionone-step mean squared error of predictionsimulation studytime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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