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The identification of ARMA processes
Published online by Cambridge University Press: 14 July 2016
Abstract
This paper presents a review of recent results for the identification of ARMA processes according to the principles introduced by Akaike, i.e. assuming that the true orders exist and proposing criteria such as AIC and BIC. The development both of these methods and of consistency theory has been led by E. J. Hannan.
- Type
- Part 2—Estimation for Time Series
- Information
- Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 75 - 87
- Copyright
- Copyright © 1986 Applied Probability Trust