On the application of the Wald statistic to order estimation ofARMA models |
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Authors: | Burshtein D Weinstein E |
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Affiliation: | Dept. of Electron. Syst., Tel-Aviv Univ.; |
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Abstract: | Consistent criteria for order estimation of autoregressive moving-average (ARMA) processes based on the Wald statistic are presented. The new criteria require only the estimation of the model parameters at the largest order, unlike alternative methods in the literature that require the estimation of the model parameters at all possible orders |
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