Order Estimation in ARMA-Models by Lagrangian Multiplier Tests

Open Access

1 September 1983

journal article
Published by Institute of Mathematical Statistics in The Annals of Statistics

Vol. 11 (3) , 872-885
https://doi.org/10.1214/aos/1176346253

Abstract

A stepwise testing procedure using Lagrangian multiplier tests is developed to determine the order of an ARMA-process. The strong consistency of this procedure under slightly weaker assumptions than in Hannan (1980) (proof of the consistency of the order estimators obtained via BIC) is proved.

Keywords

LINEAR SYSTEMS
ARMA MODELS
ORDER ESTIMATION
LAW OF THE ITERATED LOGARITHM
PREDICTION ERRORS ESTIMATION
LAGRANGE MULTIPLIER TEST

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