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
相关论文
共 50 条
  • [31] ON THE ESTIMATION OF TIME-SERIES QUANTILES USING SMOOTHED ORDER-STATISTICS
    GELINAS, R
    LEFRANCOIS, P
    INTERNATIONAL JOURNAL OF FORECASTING, 1993, 9 (02) : 227 - 243
  • [32] A new smoothing technique for univariate time series: the endpoint problem
    Vasyechko, Olga
    Rehomme, Michel Grun
    ECONOMICS BULLETIN, 2014, 34 (03): : 1419 - 1430
  • [33] A　New　Parameter　Estimation　Algorithm　of　Multivariable　Time　Series　Model
    Wu Qinglie Xu Nanrong (School of Economics & Management
    Journal of Southeast University(English Edition), 1996, (01) : 100 - 105
  • [34] TIME SERIES MODELING
    ROBINSON, PB
    STAMBOULIS, AP
    PROCEEDINGS ANNUAL RELIABILITY AND MAINTAINABILITY SYMPOSIUM, 1974, 7 (02): : 413 - 419
  • [35] A Higher-Order Fuzzy Neural Network for Modeling Financial Time Series
    Panella, Massimo
    Liparulo, Luca
    Proietti, Andrea
    PROCEEDINGS OF THE 2014 INTERNATIONAL JOINT CONFERENCE ON NEURAL NETWORKS (IJCNN), 2014, : 3066 - 3073
  • [36] MODELING NONNORMAL 1ST-ORDER AUTOREGRESSIVE TIME-SERIES
    SIM, CH
    JOURNAL OF FORECASTING, 1994, 13 (04) : 369 - 381
  • [37] Neural network for modeling financial time series: A new approach
    Slim, C
    Trabelsi, A
    COMPUTATIONAL SCIENCE AND ITS APPLICATIONS - ICCA 2003, PT 3, PROCEEDINGS, 2003, 2669 : 236 - 245
  • [38] A new computational technique for the estimation of sterilization time in canned food
    Farid, M
    Ghani, AGA
    CHEMICAL ENGINEERING AND PROCESSING-PROCESS INTENSIFICATION, 2004, 43 (04) : 523 - 531
  • [39] Dynamics modeling for sugarcane sucrose estimation using time series satellite imagery
    Zhao, Yu
    Della Justina, Diego
    Kazama, Yoriko
    Rocha, Jansle Vieira
    Graziano, Paulo Sergio
    Camargo Lamparelli, Rubens Augusto
    REMOTE SENSING FOR AGRICULTURE, ECOSYSTEMS, AND HYDROLOGY XVIII, 2016, 9998
  • [40] Order patterns in time series
    Bandt, Christoph
    Shiha, Faten
    JOURNAL OF TIME SERIES ANALYSIS, 2007, 28 (05) : 646 - 665
12345