Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process
DOI10.1109/78.218144zbMath0776.62067OpenAlexW2135468574MaRDI QIDQ4201984
Publication date: 24 November 1993
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/78.218144
numerical exampleschi-square statisticsstationary processARMA processLagrange multiplier test statisticorder determinationautoregressive moving-average modelTrench-Zohar algorithmQuenouille-Walker's goodness-of-fit test statistic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Probabilistic methods, stochastic differential equations (65C99)
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