The Estimation of the Order of an ARMA Process

E. J. Hannan

doi:10.1214/aos/1176345144

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Home > Journals > Ann. Statist. > Volume 8 > Issue 5 > Article

September, 1980 The Estimation of the Order of an ARMA Process

E. J. Hannan

Ann. Statist. 8(5): 1071-1081 (September, 1980). DOI: 10.1214/aos/1176345144

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Abstract

Under general conditions strong consistency of certain estimates of the maximum lags of an autoregressive moving average process is established. A theorem on weak consistency is also proved and in certain cases where consistency does not hold the probability of over-estimation of a maximum lag is evaluated.

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E. J. Hannan. "The Estimation of the Order of an ARMA Process." Ann. Statist. 8 (5) 1071 - 1081, September, 1980. https://doi.org/10.1214/aos/1176345144