On a procedure for testing the order of time series

DOI10.1109/TAC.1981.1102648zbMATH Open0487.93054OpenAlexW1966969332MaRDI QIDQ3948971FDOQ3948971

Authors: Petre Stoica 

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1981.1102648

zbMATH Keywords

autoregressive moving-average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Estimation and detection in stochastic control theory (93E10)

Cited In (7)

• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• On the order of the minimal output representation of stochastic linear systems
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• An efficient linear method for ARMA spectral estimation
• Generalized Yule-Walker equations and testing the orders of multivariate time series

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