New method of order estimation for ARMA/ARMAX processes

DOI10.1137/090768680MaRDI QIDQ3058499zbMATH OpenOpenAlexFDO

Authors Hanfu Chen, Wenxiao Zhao

Publication date 3 December 2010

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090768680

zbMATH Keywords

ARMAX processesautoregressive moving average (ARMA) processconvergence rateorder estimationstrong consistency

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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