A new order estimation technique for time series modeling

被引：7
|
作者：
Davis, MHA [1 ]
Zheng, WX [1 ]
机构：
[1] UNIV LONDON IMPERIAL COLL SCI TECHNOL & MED,DEPT ELECT & ELECT ENGN,LONDON SW7 2BT,ENGLAND
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1997年 / 42卷 / 03期
基金：
澳大利亚研究理事会;
关键词：
ARMA model; order estimation; stochastic realization; time series modeling;
D O I：
10.1109/9.557584
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, a new approach to estimating the order of the autoregressive moving average model is proposed, which is based on the approximate stochastic realization introduced in [7], The present approach is attractive because overparameterization - a very common problem in order determination - is avoided successfully, Simulation results are included to illustrate the effectiveness of the proposed order estimation approach.
引用
收藏
页码：400 / 403
页数：4
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