A stepwise testing procedure using Lagrangian multiplier tests is developed to determine the order of an ARMA-process. The strong consistency of this procedure under slightly weaker assumptions than in Hannan (1980) (proof of the consistency of the order estimators obtained via BIC) is proved.
Publié le : 1983-09-14
Classification:
Linear systems,
ARMA models,
order estimation,
law of the iterated logarithm,
prediction errors estimation,
Lagrange multiplier test,
62M10,
62M15,
60G10,
93E12
@article{1176346253,
author = {Potscher, B. M.},
title = {Order Estimation in ARMA-Models by Lagrangian Multiplier Tests},
journal = {Ann. Statist.},
volume = {11},
number = {1},
year = {1983},
pages = { 872-885},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346253}
}
Potscher, B. M. Order Estimation in ARMA-Models by Lagrangian Multiplier Tests. Ann. Statist., Tome 11 (1983) no. 1, pp. 872-885. http://gdmltest.u-ga.fr/item/1176346253/