Empirical consistent estimation of the order of an ARMA process
Abdelkader Mokkadem · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 1998
We present a new empirical consistent method for estimation of the order of an ARMA process. All the inconvenience of the usual criterions are solved. In particular in our method, it is not necessary to know an a prior lower bound for the zeros of the spectra and we do not need an a priori known upper bound for the order. Moreover our criterion is very easy to compute.