Under general conditions strong consistency of certain estimates of the maximum lags of an autoregressive moving average process is established. A theorem on weak consistency is also proved and in certain cases where consistency does not hold the probability of over-estimation of a maximum lag is evaluated.
Publié le : 1980-09-14
Classification:
ARMA process,
maximum lags,
law of the iterated logarithm,
identification,
strong consistency,
62M10,
60F15
@article{1176345144,
author = {Hannan, E. J.},
title = {The Estimation of the Order of an ARMA Process},
journal = {Ann. Statist.},
volume = {8},
number = {1},
year = {1980},
pages = { 1071-1081},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345144}
}
Hannan, E. J. The Estimation of the Order of an ARMA Process. Ann. Statist., Tome 8 (1980) no. 1, pp. 1071-1081. http://gdmltest.u-ga.fr/item/1176345144/