Several Methods Of Order Identification For ARMA Models

This article aims at the estimation and order identification of the autoregressive moving average (ARMA) models. As performing Box -Jenkins method BIC and system order identification to unify we introduced the Autoregressive order determination criterion and common factor test in detail. And compare these two methods to ESACF at the end.The former used two-stage regression method in estimation and the Autoregressive order determination criterion in order identification.In the latter , however ,both estimation and identification are based on a matrix formed from the coefficients of autoregressive approximation to the process of interest. We show that a zero determination of this matrix is necessary and sufficient for the existence of a common factor in autoregressive and moving average lag polynomials and therefore for redundant parameters in the model.In the method comparison, mainly the influence performs from the sample size , model structure and parameter values to the rationality of the model is elaborated...