An order-testing criterion for mixed autoregressive moving average processes

1 November 1974

journal article
research article
Published by Taylor & Francis in International Journal of Control

Vol. 20 (5) , 817-834
https://doi.org/10.1080/00207177408932784

Abstract

In this paper an objective method is proposed for estimating the orders of Autoregressive Moving Average processes and single input/output systems. These methods are an extension of Akaike/s Final Prediction Error (FPE) criterion, which is based on the analysis of the estimated variance of the process. It is shown from extensive numerical examples that the modified FPE predicts the correct model structure with a greater degree of consistency than previous procedures.

Keywords

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