Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process

DOI10.2307/1403576zbMath0738.62084OpenAlexW2322538864MaRDI QIDQ3982313

R. J. Bhansali

Publication date: 26 June 1992

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1403576

zbMATH Keywords

time seriesAkaike information criterionbiassimulation studyBIC criterionfinite sample behaviourfinal prediction error criterionautoregressive moving average processconsistent recursive estimationHannan-Rissanen procedurelikelihood-based procedure of order selectionone-step mean squared error of prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Simultaneous confidence bands for sequential autoregressive fitting ⋮ Simultaneous confidence bands for Yule-Walker estimators and order selection ⋮ ARMA MODELS REALIZATION AND IMPULSE RESPONSES ⋮ Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models ⋮ The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes

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