DocumentCode
1056105
Title
ARMA model order estimation based on the eigenvalues of the covariance matrix
Author
Liang, Gang ; Wilkes, D. Mitchell ; Cadzow, James A.
Author_Institution
Dept. of Electr. Eng., Tennessee State Univ., Nashville, TN, USA
Volume
41
Issue
10
fYear
1993
fDate
10/1/1993 12:00:00 AM
Firstpage
3003
Lastpage
3009
Abstract
An approach to model order determination based on the minimum description length (MDL) criterion is proposed and shown to depend on the minimum eigenvalues of a covariance matrix derived from the observed data. A selection procedure for estimating the model order by means of the MDL method is proposed. Examples are given to illustrate the significantly improved accuracy of the technique
Keywords
eigenvalues and eigenfunctions; matrix algebra; parameter estimation; signal processing; ARMA model order estimation; covariance matrix; eigenvalues; minimum description length; Biomedical signal processing; Covariance matrix; Direction of arrival estimation; Eigenvalues and eigenfunctions; Parameter estimation; Radar applications; Sensor arrays; Signal processing; Speech processing; System identification;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.277805
Filename
277805
Link To Document