On estimating the order of an ARMA process

DOI10.1016/0005-1098(87)90038-0MaRDI QIDQ1097231zbMATH OpenOpenAlexFDO

Authors Jean-Jacques Fuchs

Publication date 1987

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(87)90038-0

zbMATH Keywords

ARMA processesmatrix perturbation theoryorder determination test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

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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• A new look at the statistical model identification
• A universal prior for integers and estimation by minimum description length
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• Estimating the dimension of a model
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• On a procedure for structural identification
• Recursive estimation of mixed autoregressive-moving average order

Cited in

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• Structure testing of wave propagation models used in identification of viscoelastic materials

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