Title :
A consistent estimator for the model order of an autoregressive process
Author :
Ciftcioglu, Özer ; Hoogenboom, J. Eduard ; Van Dam, Hugo
Author_Institution :
Fac. Electr. Eng., Istanbul Tech. Univ., Turkey
fDate :
6/1/1994 12:00:00 AM
Abstract :
A consistent estimator for the model order of an autoregressive process is derived based on a statistical F test. Its asymptotic properties are considered. The procedure is compared with Akaike´s information theoretical approach and found to result in lower model orders in general
Keywords :
information theory; signal processing; statistical analysis; stochastic processes; time series; Akaike´s information theory; asymptotic properties; autoregressive process; consistent estimator; model order; statistical F test; Autocorrelation; Autoregressive processes; Data analysis; Data processing; Degradation; Delay estimation; Surveillance; Testing; Time series analysis; White noise;
Journal_Title :
Signal Processing, IEEE Transactions on
