Summary
It is well known how, for an ARMA process of order (p 0,q 0), max (p 0,q 0) may be recursively estimatedHannan/Rissanen. Assuming max (p 0,q 0) to be known and, in addition,p 0≥q 0, a simple procedure for the recursive estimation of (p 0,q 0) is presented.
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Reschenhofer, E. A remark on the recursive estimation of ARMA order. Metrika 32, 93–96 (1985). https://doi.org/10.1007/BF01897804
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DOI: https://doi.org/10.1007/BF01897804