We describe and compare some recently proposed tests for the estimation of the order of a possibly multivariable ARMA process. An outline of the presentation is as follows. Section II introduces the necessary notation and concepts and gives a proof of the main result concerning the rank properties of the ARMA covariance matrix. In Section III we describe three different rank test methods for ARMA order estimation. They are compared and evaluated in Section IV by means of some numerical examples, and Section V finally states some conclusions from the experiments.
For the entire collection see [Zbl 0894.00023].