On the Application of the Wald Statistic to Order Estimation of Arma Models

David Burshtein; Ehud Weinstein

doi:10.1109/9.83546

On the Application of the Wald Statistic to Order Estimation of Arma Models

David Burshtein, Ehud Weinstein

School of Electrical Engineering

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

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.

Original language	English
Pages (from-to)	1091-1096
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	36
Issue number	9
DOIs	https://doi.org/10.1109/9.83546
State	Published - Sep 1991

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On the Application of the Wald Statistic to Order Estimation of Arma Models

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