The asymptotic joint distribution of the correlation determinant estimates of an arma process |
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| Authors: | ByoungSeon Choi |
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| Institution: | 1. Yonsei University and University of California;2. Department of Statistics , University of California , Santa, Barbara, CA, 93106 E-mail: choi@bernoulli.ucsb.edu |
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| 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. |
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| Keywords: | autoregressive moving-average determinants corner method asymptotic distribution |
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