The estimation of the order of an ARMA process

DOI10.1214/AOS/1176345144MaRDI QIDQ1148094zbMATH OpenOpenAlexFDO

Authors E. J. Hannan

Publication date 1980

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345144

zbMATH Keywords

estimation of order of ARMA processidentificationlaw of iterated logarithmmaximum lagsstrong consistency

Mathematics Subject Classification ID

Strong limit theorems (60F15) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cited in

(94)

• On time series model selection involving many candidate ARMA models
• The inverse partial correlation function of a time series and its applications
• The maximum of the periodogram
• Estimation of the degree of differencing of an ARIMA process
• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• On the recursive fitting of subset autoregressive-moving average process
• Estimating the number of change-points via Schwarz' criterion
• Estimating the dimension of a linear system
• Detection of multiple changes in a sequence of dependent variables
• Identification of non-minimum phase transfer function using higher-order spectrum
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• The weighted average information criterion for order selection in time series and regression models
• Autoregressive model selection for multistep prediction
• On the underfitting and overfitting sets of models chosen by order selection criteria.
• Inferring the rank of a matrix
• Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
• Modified information criteria and selection of long memory time series models
• Bootstrap order determination for ARMA models: a comparison between different model selection criteria
• On model Fitting and estimation of strictly stationary processes
• An introduction to the Bayes information criterion: theoretical foundations and interpretation
• Structural econometric modeling and time series analysis
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• On-line order estimation and parameter identification for linear stochastic feedback control systems (CARMA model)
• Twenty-one ML estimators for model selection
• Information criteria for selecting possibly misspecified parametric models
• Consistency of minimum description length model selection for piecewise stationary time series models
• Prediction in several conventional contexts
• Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
• Consistent order selection for ARFIMA processes
• Consistent model selection criteria and goodness-of-fit test for common time series models
• On determination of the order of an autoregressive model
• Model selection: a Lagrange optimization approach
• Consistent variable selection in high dimensional regression via multiple testing
• Unit-root detection allowing for measurement error
• Improved model selection criteria for SETAR time series models
• Strongly consistent model selection for general causal time series
• Exponential squared loss based robust variable selection of AR models
• Times series models with thresholds
• Adaptive order determination for constructing time series forecasting models
• Determining the order of the functional autoregressive model
• On multivariate time series model selection involving many candidate VAR models
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• Bootstrap-based ARMA order selection
• Consistency of a class of information criteria for model selection in non-linear regression
• ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER
• Nonparametric approach to intervention time series modeling
• ARMA model order and parameter estimation using genetic algorithms
• Relations between information criteria for model-structure selection Part 1. The role of bayesian model order estimation
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• Testing for the number of change points in a sequence of exponential random variables
• A system identification problem motivated by robust control
• Testing for the maximum mean in a mixture of normals
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• An improved divergence information criterion for the determination of the order of an AR process
• ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
• REGRESSION, AUTOREGRESSION MODELS
• THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
• ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS
• Model-structure selection by cross-validation
• ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN-SQUARE PREDICTION ERROR
• Model selection by multiple test procedures
• Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models
• Simultaneous confidence bands for Yule-Walker estimators and order selection
• Performance of information criteria for selection of Hawkes process models of financial data
• Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case
• Order Choice in Nonlinear Autoregressive Models
• Statistical and computational tradeoff in genetic algorithm-based estimation
• Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
• General Hannan and Quinn criterion for common time series
• Statistical inference for ARMA time series with moving average trend
• Distributed Order Estimation of ARX Model under Cooperative Excitation Condition
• Model selection for time series with nonlinear trend
• Bootstrap order selection for SETAR models
• Order selection and inference with long memory dependent data
• Tuning parameter selection for the adaptive LASSO in the autoregressive model
• Model identification for infinite variance autoregressive processes
• Dimension reduction transfer function model
• Forecasting ARMA models: a comparative study of information criteria focusing on MDIC
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime
• On asymptotic risk of selecting models for possibly nonstationary time-series
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Weakly consistent offline clustering of ARMA processes
• On consistency for time series model selection
• Prediction error identification of linear systems: a nonparametric Gaussian regression approach
• Efficient and consistent model selection procedures for time series
• Bootstrapping ARMA time series models after model selection
• New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models
• Oracally efficient estimation and consistent model selection for spatial ARMA process with bivariate trend
• Model selection criteria in multivariate models with multiple structural changes
• An infinite impulse response lattice filter for adaptive line enhancement
• Estimation of structure by minimum description length
• Strong consistency of a family of model order selection rules for estimating 2D sinusoids in noise

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