On estimating the order of an ARMA process (Q1097231)
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scientific article; zbMATH DE number 4033641
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| English | On estimating the order of an ARMA process |
scientific article; zbMATH DE number 4033641 |
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On estimating the order of an ARMA process (English)
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1987
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In this brief paper the author describes an order determination test for ARMA processes using matrix perturbation theory. The test requires the selection of the significance level on subjective grounds. The test is numerically simple, and the results are reported as good.
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order determination test
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ARMA processes
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matrix perturbation theory
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0.8538959622383118
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