On the Order Determination of Arima Models

T. Ozaki

Journal of the Royal Statistical Society Series C, 1977, vol. 26, issue 3, 290-301

Abstract: In this paper the difficulty in deciding the order of an arima (autoregressive integrated moving average) model is discussed. The possibility of removing this difficulty by using the maice (minimum aic estimation) procedure, which selects a model by using Akaike's Information Criterion (aic), is checked with the numerical examples treated in the book by Box and Jenkins.

Date: 1977
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