Title :
The quality of models for ARMA processes
Author :
Broersen, P.M.T.
Author_Institution :
Dept. of Appl. Phys., Delft Univ. of Technol., Netherlands
fDate :
6/1/1998 12:00:00 AM
Abstract :
The model error (ME) is an objective measure for assessing the quality of different models of a given ARMA process. The expression for ME can be evaluated easily in the time domain. This quality measure for known and given processes is necessary for an objective comparison of the performance of estimation algorithms and of order selection criteria
Keywords :
autoregressive moving average processes; frequency-domain analysis; parameter estimation; signal processing; spectral analysis; time series; time-domain analysis; ARMA process; estimation algorithms; model error; objective measure; order selection criteria; performance; quality; time domain; Computer errors; Error correction; Frequency domain analysis; Frequency estimation; Mathematical model; Physics; Predictive models; Signal generators; Signal processing algorithms; Time measurement;
Journal_Title :
Signal Processing, IEEE Transactions on
