  In this paper the stochastic complexity criterion is applied to estimation of
the order in AR and ARMA models. The power of the criterion for short strings
is illustrated by simulations. It requires an integral of the square root of
Fisher information, which is done by Monte Carlo technique. The stochastic
complexity, which is the negative logarithm of the Normalized Maximum
Likelihood universal density function, is given. Also, exact asymptotic
formulas for the Fisher information matrix are derived.
