DocumentCode
2402697
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
fYear
1992
fDate
1992
Firstpage
3690
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location
Tucson, AZ
Print_ISBN
0-7803-0872-7
Type
conf
DOI
10.1109/CDC.1992.370960
Filename
370960
Link To Document