On the application of the Wald statistic to order estimation of ARMA models

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1991Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Transactions on Automatic Control, volume 36, pages 1,091-1,096 (issn: 0018-9286,

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Authors: Burshtein, David; Weinstein, Ehud;

doi: 10.1109/9.83546

On the application of the Wald statistic to order estimation of ARMA models

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Abstract

Summary: Consistent criteria for order estimation of autoregressive-moving-average (ARMA) processes based on the Wald statistic are presented. The new criteria require only the estimation of the model parameters at the largest order, unlike alternative methods in the literature that require the estimation of the model parameters at all possible orders.

Related Organizations

Tel Aviv University
Israel
Woods Hole Oceanographic Institution
United States

Keywords

Time series, auto-correlation, regression, etc. in statistics (GARCH), consistent estimation, Wald statistic, order estimation of autoregressive-moving-average (ARMA) processes

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