On the estimation of the order of a moving-average process
Author :
Chow, Joe
Author_Institution :
Wayne State University, Detroit, MI, USA
Volume :
17
Issue :
3
fYear :
1972
fDate :
6/1/1972 12:00:00 AM
Firstpage :
386
Lastpage :
387
Abstract :
The problem of estimating the order of a moving-average process will be considered. The procedure of estimation is to test whether the correlations of the output observation approach zero after the \´s are greater than the order of the process.
Keywords :
Estimation; Moving-average processes; Contracts; Equations; Least squares approximation; Parameter estimation; Physics; Probability distribution; Stochastic processes; Sufficient conditions; Testing; Transfer functions;