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A Note on Estimating Autoregressive-Moving Average Order
Vol. 78, No. 4 (Dec., 1991), pp. 920-922
Stable URL: http://www.jstor.org/stable/2336945
Page Count: 3
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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.
Biometrika © 1991 Biometrika Trust