Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

DOI10.1109/78.218144zbMATH Open0776.62067OpenAlexW2135468574MaRDI QIDQ4201984FDOQ4201984

Authors: ByoungSeon Choi 

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

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zbMATH Keywords

numerical examplesstationary processARMA processchi-square statisticsLagrange multiplier test statisticorder determinationautoregressive moving-average modelTrench-Zohar algorithmQuenouille-Walker's goodness-of-fit test statistic

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Cited In (5)

• The asymptotic distribution of the constant behavior of the generalized partial autocorrelation function of an ARMA process
• Spectral factorization of the autocorrelation sequence of an IIR filter using patterns of three functions
• A specification strategy for order determination in arma models
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• Determining the order of an arm a model from outlier contaminated data

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