On the estimation of the order of a moving-average process

Abstract

The problem of estimating the order of a moving-average process will be considered. The procedure of estimation is to test whether the correlations <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">\gamma(i)</tex> of the output observation approach zero after the <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">i</tex> 's are greater than the order of the process.