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The identification of ARMA processes
An Hong-Zhi, Chen Zhao-Guo
Journal:

Journal of Applied Probability / Volume 23 / Issue A / 1986

Published online by Cambridge University Press:

14 July 2016, pp. 75-87

Print publication:

1986
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This paper presents a review of recent results for the identification of ARMA processes according to the principles introduced by Akaike, i.e. assuming that the true orders exist and proposing criteria such as AIC and BIC. The development both of these methods and of consistency theory has been led by E. J. Hannan.

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The identification of ARMA processes