DocumentCode
1322329
Title
On the application of the Wald statistic to order estimation of ARMA models
Author
Burshtein, David ; Weinstein, Ehud
Author_Institution
Dept. of Electron. Syst., Tel-Aviv Univ., Israel
Volume
36
Issue
9
fYear
1991
fDate
9/1/1991 12:00:00 AM
Firstpage
1091
Lastpage
1096
Abstract
Consistent criteria for order estimation of autoregressive moving-average (ARMA) processes based on the Wald statistic are presented. The new criteria require only the estimation of the model parameters at the largest order, unlike alternative methods in the literature that require the estimation of the model parameters at all possible orders
Keywords
parameter estimation; statistics; time series; ARMA models; Wald statistic; autoregressive moving-average; model parameters estimation; order estimation; Graphics; Mathematical model; Maximum likelihood estimation; Oceans; Parameter estimation; Statistical analysis; Statistical distributions; Statistics; Systems engineering and theory; Testing;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.83546
Filename
83546
Link To Document