ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS

Pham Dinh Tuan

Journal of Time Series Analysis, 1988, vol. 9, issue 3, 265-279

Abstract: Abstract. A quick algorithm for obtaining estimates of autoregressive parameters for autoregressive moving‐average model is presented. The algorithm is recursive in the orders, and can be used for model selection by providing a criterion and a two‐way table of certain partial covariances. Consistency and asymptotic normality of the estimates are shown.

Date: 1988
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https://doi.org/10.1111/j.1467-9892.1988.tb00470.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:3:p:265-279

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