Order estimation in ARMA-models by Lagrangian multiplier tests

DOI10.1214/aos/1176346253zbMath0521.62072OpenAlexW2058353429MaRDI QIDQ1055135

B. M. Poetscher

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1214/aos/1176346253

zbMATH Keywords

linear systemstrong consistencyorder estimationARMA-modelsLagrangian multiplier testsstepwise testing procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Identification in stochastic control theory (93E12)

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