Abstract
Under general conditions strong consistency of certain estimates of the maximum lags of an autoregressive moving average process is established. A theorem on weak consistency is also proved and in certain cases where consistency does not hold the probability of over-estimation of a maximum lag is evaluated.
Keywords
MathematicsConsistency (knowledge bases)Strong consistencyAutoregressive modelEstimationWeak consistencyStatisticsEconometricsApplied mathematicsDistributed lagAutoregressive–moving-average modelProcess (computing)Computer scienceEstimatorEconomicsDiscrete mathematics
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Publication Info
- Year
- 1980
- Type
- article
- Volume
- 8
- Issue
- 5
- Citations
- 497
- Access
- Closed
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Cite This
E. J. Hannan
(1980).
The Estimation of the Order of an ARMA Process.
The Annals of Statistics
, 8
(5)
.
https://doi.org/10.1214/aos/1176345144
Identifiers
- DOI
- 10.1214/aos/1176345144