On estimating the order of an ARMA process

DOI10.1016/0005-1098(87)90038-0zbMath0634.93071OpenAlexW1977354289MaRDI QIDQ1097231

Jean-Jacques Fuchs

Publication date: 1987

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(87)90038-0

zbMATH Keywords

ARMA processesmatrix perturbation theoryorder determination test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items

Structure testing of wave propagation models used in identification of viscoelastic materials ⋮ Time Series and Model Selection

Cites Work

• Unnamed Item
• A universal prior for integers and estimation by minimum description length
• Estimating the dimension of a model
• ARMA order estimation via matrix perturbation theory
• On a procedure for structural identification
• Recursive estimation of mixed autoregressive-moving average order
• A new look at the statistical model identification