Title :
A stochastic realisation approach to order determination in time series modeling
Author :
Davis, M.H.A. ; Zheng, W.X.
Author_Institution :
Interdisciplinary Res. Centre for Process Syst. Eng., Imperial Coll. of Sci., Technol. & Med., London, UK
Abstract :
An approach to estimating the autoregressive moving average (ARMA) model order that is based on the approximate stochastic realization introduced by M.H.A. Davis and P.G. Fotopoulos (1991) is proposed. The approach is attractive in that overparameterization, a very common problem in order determination, is avoided successfully
Keywords :
parameter estimation; stochastic systems; time series; autoregressive moving average model; order determination; overparameterization; stochastic realisation approach; time series modeling; Autoregressive processes; Biomedical signal processing; Educational institutions; Iterative algorithms; Linear approximation; Stochastic processes; Stochastic systems; System identification; Systems engineering and theory; White noise;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.370960
