ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES

DOI10.1111/j.1467-9892.1990.tb00049.xzbMath0703.62099OpenAlexW2041433890MaRDI QIDQ3482738

Benedikt M. Pötscher

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00049.x

zbMATH Keywords

consistencytransfer functionAkaike information criterionBayesian information criterionAICBICorder estimationautoregressive moving-average modelnon-ARMA data- generating processspectral density approximation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Order Choice in Nonlinear Autoregressive Models ⋮ New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models ⋮ Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime

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