A new method for AR order - Determination of an ARMA process

被引：5
|
作者：
Xiao, CB
Zhang, XD
Li, YD
机构：
[1] Department of Automation, Tsinghua University
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 1996年 / 44卷 / 11期
基金：
中国国家自然科学基金;
关键词：
D O I：
10.1109/78.542452
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
Using a combination of the minimum description length (MDL) criterion and overdetermined instrumental variable method, a computationally. efficient method for AR order determination of an ARMA process is proposed in this correspondence, It is shown that the well-known singular value decomposition (SVD) method for AR order determination is a special case of the proposed method. Numerical simulations are presented to show the effectiveness of this method.
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页码：2900 / 2903
页数：4
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