The Annals of Statistics

Order Estimation in ARMA-Models by Lagrangian Multiplier Tests

B. M. Potscher

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Abstract

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.

Article information

Source
Ann. Statist., Volume 11, Number 3 (1983), 872-885.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346253

Digital Object Identifier
doi:10.1214/aos/1176346253

Mathematical Reviews number (MathSciNet)
MR707937

JSTOR
links.jstor.org

Subjects
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62M15: Spectral analysis 60G10: Stationary processes 93E12: System identification

Keywords
Linear systems ARMA models order estimation law of the iterated logarithm prediction errors estimation Lagrange multiplier test

Citation

Potscher, B. M. Order Estimation in ARMA-Models by Lagrangian Multiplier Tests. Ann. Statist. 11 (1983), no. 3, 872--885. doi:10.1214/aos/1176346253. https://projecteuclid.org/euclid.aos/1176346253


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Corrections

  • See Correction: B. M. Potscher. Corrections: Order Estimation in Arma-Models by Lagrangian Multiplier Tests. Ann. Statist., Volume 12, Number 2 (1984), 785--785.