The asymptotic joint distribution of the correlation determinant estimates of an arma process

Abstract

The determinants of the correlation matrices of an autoregressive moving-average process have been used for determining orders of the process. In this note the asymptotic joint distribution of determinant estimates is presented. Also, two chi-squared stistics based on the asymptotic distribution are proposed for order determination.

Keywords:

• autoregressive moving-average
• determinants
• corner method
• asymptotic distribution