On the application of the Wald statistic to order estimation of ARMA models

DOI10.1109/9.83546zbMATH Open0739.62070OpenAlexW1979474007MaRDI QIDQ3987136FDOQ3987136

David Burshtein, Ehud Weinstein

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1109/9.83546

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zbMATH Keywords

consistent estimationWald statisticorder estimation of autoregressive-moving-average (ARMA) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (6)

• The Durbin-Watson statistic to estimate the instantaneous variance of non-stationary stochastic processes with ARMA structure for noise process
• Title not available (Why is that?)
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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• A specification strategy for order determination in arma models
• Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

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