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A Note on Estimating Autoregressive-Moving Average Order

L. Kavalieris
Biometrika
Vol. 78, No. 4 (Dec., 1991), pp. 920-922
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2336945
Stable URL: http://www.jstor.org/stable/2336945
Page Count: 3
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A Note on Estimating Autoregressive-Moving Average Order
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Abstract

A method for the estimation of parameters and model orders in an autoregressive-moving average system was introduced by Hannan & Rissanen (1982). That method may overestimate the model orders. Here an information theoretic order estimation procedure is introduced and shown to be consistent. Simulations show that the method performs well for moderate sample sizes.

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