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September, 1983 Order Estimation in ARMA-Models by Lagrangian Multiplier Tests
B. M. Potscher
Ann. Statist. 11(3): 872-885 (September, 1983). DOI: 10.1214/aos/1176346253

Abstract

A stepwise testing procedure using Lagrangian multiplier tests is developed to determine the order of an ARMA-process. The strong consistency of this procedure under slightly weaker assumptions than in Hannan (1980) (proof of the consistency of the order estimators obtained via BIC) is proved.

Citation

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B. M. Potscher. "Order Estimation in ARMA-Models by Lagrangian Multiplier Tests." Ann. Statist. 11 (3) 872 - 885, September, 1983. https://doi.org/10.1214/aos/1176346253

Information

Published: September, 1983
First available in Project Euclid: 12 April 2007

MathSciNet: MR707937
Digital Object Identifier: 10.1214/aos/1176346253

Subjects:
Primary: 62M10
Secondary: 60G10, 62M15, 93E12

Rights: Copyright © 1983 Institute of Mathematical Statistics

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Vol.11 • No. 3 • September, 1983
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