A Method for Autoregressive-Moving Average Estimation
研究了自回归滑动平均系统的估计问题，包括自回归和滑动平均滞后阶数的估计，基于Hannan & Rissanen (1982)的方法并修正了其可能过度估计阶数的缺陷。
The problem considered is that of estimating an autoregressive-moving average system, including estimating the degrees of the autoregressive and moving average lag operators. The basic method is that introduced by Hannan & Rissanen (1982). However, that method may sometimes overestimate the degrees and modifications are here introduced to correct this. The problem is itself due to the use of a long autoregression, of order clogT when T is large, in the first stage of the process. The effect of this is investigated and in particular its effect on the speed of convergence of the estimates.