Empirical consistent estimation of the order of an ARMA process

Abdelkader Mokkadem

doi:10.1117/12.304896

26 March 1998 Empirical consistent estimation of the order of an ARMA process

Abdelkader Mokkadem

Proceedings Volume 3391, Wavelet Applications V; (1998) https://doi.org/10.1117/12.304896
Event: Aerospace/Defense Sensing and Controls, 1998, Orlando, FL, United States

Abstract

We present a new empirical consistent method for estimation of the order of an ARMA process. All the inconvenience of the usual criterions are solved. In particular in our method, it is not necessary to know an a prior lower bound for the zeros of the spectra and we do not need an a priori known upper bound for the order. Moreover our criterion is very easy to compute.

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Abdelkader Mokkadem "Empirical consistent estimation of the order of an ARMA process", Proc. SPIE 3391, Wavelet Applications V, (26 March 1998); https://doi.org/10.1117/12.304896

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KEYWORDS

Autoregressive models

Information operations

Lithium

Polonium

Radon

Statistical modeling

Stochastic processes

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