DocumentCode
2403815
Title
Applications of stochastic complexity and related computational experiments
Author
Baikovicius, Jimmy ; Gerencsér, László
Author_Institution
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
fYear
1992
fDate
1992
Firstpage
3311
Abstract
The authors show how to solve model selection and change-point detection problems for ARMA processes in real time, using a form of predictive stochastic complexity. The effect of parameter uncertainty versus model order uncertainty is presented. The proposed solutions are illustrated by means of computer simulations
Keywords
modelling; statistical analysis; time series; ARMA processes; change-point detection; computational experiments; model order uncertainty; model selection; parameter uncertainty; predictive stochastic complexity; Algebra; Automation; Computer simulation; Difference equations; Particle measurements; Polynomials; Predictive models; Stochastic processes; Uncertain systems; Uncertainty;
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.1992.371025
Filename
371025
Link To Document