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Communications in Statistics - Theory and Methods Volume 17, 1988 - Issue 9
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Original Articles

Using instrumental variables for selecting the order of arma models

Fahimeh Rezayat Dept. of Systems Engineering, University of Virginia, Charlottesville, VA, 22901
&
Anandalingam G Dept. of Systems, University of Pennsylvania, Philadelphia, PA, 19104
Pages 3029-3065 | Received 01 Apr 1987, Published online: 27 Jun 2007

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Read on this site (3)

NhuD. Le, AdrianE. Raftery & R. Douglas Martin. (1996) Robust Bayesian Model Selection for Autoregressive Processes with Additive Outliers. Journal of the American Statistical Association 91:433, pages 123-131.
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Efstathios Paparoditis. (1993) A comparison of some autocovariance-based methods of arma model selection: a simulation study. Journal of Statistical Computation and Simulation 45:1-2, pages 97-120.
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ByoungSeon Choi. (1991) The asymptotic joint distribution of the correlation determinant estimates of an arma process. Communications in Statistics - Theory and Methods 20:9, pages 2823-2835.
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Articles from other publishers (1)

Wai-Sum Chan. (1999) A comparison of some of pattern identification methods for order determination of mixed ARMA models. Statistics & Probability Letters 42:1, pages 69-79.
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