Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process (Q4201984)
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scientific article; zbMATH DE number 404143
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| English | Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process |
scientific article; zbMATH DE number 404143 |
Statements
Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process (English)
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24 November 1993
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order determination
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Trench-Zohar algorithm
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stationary process
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autoregressive moving-average model
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chi-square statistics
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ARMA process
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Quenouille-Walker's goodness-of-fit test statistic
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Lagrange multiplier test statistic
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numerical examples
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0.7908875942230225
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0.7862456440925598
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0.7812782526016235
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0.781278133392334
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