The Estimation of the Order of an ARMA Process

1980/09/01 by E. J. Hannan · 11 citations
Mathematics · Decision Sciences · Economics, Econometrics and Finance · #Statistical Methods and Inference #Advanced Statistical Process Monitoring #Financial Risk and Volatility Modeling

paper · pdf · doi:10.1214/aos/1176345144

Abstract

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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