Journal ArticleOPEN ACCESS

Order Estimation in ARMA-Models by Lagrangian Multiplier Tests

  • Potscher B
The Annals of Statistics (2007) 11(3)
DOI: 10.1214/aos/1176346253
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Abstract

… is developed to determine the order of an ARMA-process. The strong consistency of this … in the ARMA and ARMAX model. They showed that if the data are generated from an ARMA (or …

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APA

Potscher, B. M. (2007). Order Estimation in ARMA-Models by Lagrangian Multiplier Tests. The Annals of Statistics, 11(3). https://doi.org/10.1214/aos/1176346253

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