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
fDate :
9/1/1991 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
