论文信息 - On the application of the Wald statistic to order estimation of ARMA models

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

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. >

E. Weinstein | D. Burshtein | D. Burshtein | E. Weinstein

[1] A. Wald. Tests of statistical hypotheses concerning several parameters when the number of observations is large , 1943 .

[2] H. Akaike. A new look at the statistical model identification , 1974 .

[3] E. Hannan,et al. Recursive estimation of mixed autoregressive-moving average order , 1982 .

[4] R. Kashyap. Consistent estimation of the order of autoregressive models , 1980, 1980 19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes.

[5] Benjamin Friedlander. On the computation of the Cramer-Rao bound for ARMA parameter estimation , 1984 .

[6] J. Rissanen,et al. Modeling By Shortest Data Description* , 1978, Autom..

[7] K. Åström,et al. Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model , 1974 .

[8] S.M. Kay,et al. Spectrum analysis—A modern perspective , 1981, Proceedings of the IEEE.

[9] E. S. Pearson,et al. ON THE USE AND INTERPRETATION OF CERTAIN TEST CRITERIA FOR PURPOSES OF STATISTICAL INFERENCE PART I , 1928 .

[10] P. Whittle,et al. Estimation and information in stationary time series , 1953 .