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The Estimation of the Order of an ARMA Process
Open accessAbstract
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.
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Cited by
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Wagenmakers, E.-J. (2007) · Psychonomic Bulletin & Review · doi:10.3758/bf03194105 · Cited by 2,490
The minimum description length principle in coding and modeling
Barron, A., Rissanen, J., & Yu, B. (1998) · IEEE Transactions on Information Theory · doi:10.1109/18.720554 · Cited by 1,019
Testing for Indeterminacy: An Application to U.S. Monetary Policy
Lubik, T. A., & Schorfheide, F. (2004) · American Economic Review · doi:10.1257/000282804322970760 · Cited by 868
Modeling Multiple Time Series with Applications
Tiao, G. C., & Box, G. E. P. (1981) · Journal of the American Statistical Association · doi:10.1080/01621459.1981.10477728 · Cited by 626
Metadata
- Authors
- Hannan, E. J.
- Venue
- The Annals of Statistics
- Publisher
- Institute of Mathematical Statistics
- Published
- 1980-09-01
- Volume
- 8
- Issue
- 5
- ISSN
- 0090-5364 (ISSN-L)
- OpenAlex
- W2030703096
- Cited by
- 489
- References
- 0
- FWCI
- 22.11
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Hannan, E. J. (1980). The Estimation of the Order of an ARMA Process. The Annals of Statistics. https://doi.org/10.1214/aos/1176345144
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
