The Identification of ARMA Models
Tarmo M. Pukkila, Sergio G. Koreisha, Arto Kallinen · Biometrika · 1990
We present a new powerful method for determining the order of ARMA (p, q) models having small sets of observations. The procedure is based on an autoregressive order determination criterion and on linear estimation methods. Simulated data are used to demonstrate the capabilities of the approach.