Advanced Search
Home > Journals > Ann. Statist. > Volume 11 > Issue 3 > Article
Open Access
September, 1983 Order Estimation in ARMA-Models by Lagrangian Multiplier Tests
B. M. Potscher
Ann. Statist. 11(3): 872-885 (September, 1983). DOI: 10.1214/aos/1176346253

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.

Citation

Download Citation

B. M. Potscher. "Order Estimation in ARMA-Models by Lagrangian Multiplier Tests." Ann. Statist. 11 (3) 872 - 885, September, 1983. https://doi.org/10.1214/aos/1176346253

Information

Published: September, 1983
First available in Project Euclid: 12 April 2007

MathSciNet: MR707937
Digital Object Identifier: 10.1214/aos/1176346253

Subjects:
Primary: 62M10
Secondary: 60G10 , 62M15 , 93E12

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

Rights: Copyright © 1983 Institute of Mathematical Statistics

JOURNAL ARTICLE
 14 PAGES
DOWNLOAD PDF + SAVE TO MY LIBRARY
GET CITATION
< Previous Article
|
Next Article >
Vol.11 • No. 3 • September, 1983
Institute of Mathematical Statistics
Subscribe to Project Euclid
Receive erratum alerts for this article
Back to Top