The estimation of the order of an ARMA process using third-order statistics

DOI10.1080/00207720500389683zbMath1122.62075OpenAlexW2026536190MaRDI QIDQ5426606

Adnan M. Al-Smadi

Publication date: 13 November 2007

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207720500389683

zbMATH Keywords

system identificationautoregressive moving averagemodel order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• A universal prior for integers and estimation by minimum description length
• Estimating the dimension of a model
• Statistical predictor identification
• The Fitting of Time-Series Models
• Order and delay selection for neural network modelling by identification of linearized models
• A Study of Autoregressive and Window Spectral Estimation
• Some recent advances in time series modeling
• ARMA model order estimation based on the eigenvalues of the covariance matrix
• Cumulant-based approach to FIR system identification
• An ARMA order selection method with fuzzy reasoning.

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