Estimation of the order of ARMA model by linear procedures

MaRDI QIDQ1059355zbMATH OpenFDO

Authors Shouren Wang, Zhao-Guo Chen

Publication date 1985

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

linear estimation proceduremonitoring criterionorder of ARMA modelsstrong consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

In this paper a linear procedure is used to estimate the order of ARMA models. The strong consistency of the estimate is proved. Here the monitoring criterion is applied.

Cited in

(6)

• On the recursive fitting of subset autoregressive-moving average process
• Subset regression time series and its modeling procedures
• Recursive method for ARMA model estimation. I
• Recursive method for ARMA model estimation. II
• Fitting ARMA models to linear non-Gaussian processes using higher order statistics.
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation

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