On the recursive fitting of subset autoregressive-moving average process

For fitting data with an ARMA model, the major topic we come cross is how to determine the order (p, q). More over we may wish to search for a subset ARMA model. This paper offers a recursive procedure for this purpose, it is computationally very cheap. If the data are generated truly by a subset ARMA model, then the procedure can be proved to give a consistent identification.Institute of Applied Mathematics, Academia Sinica