The Identification of ARMA Models
提出一种新方法，用于在小样本观测下确定ARMA(p,q)模型的阶数，基于自回归阶数判定准则和线性估计方法，通过模拟数据验证其有效性。
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.