DocumentCode
2619361
Title
A stochastic realization approach to AR model order determination using partial autocorrelation coefficients
Author
Biron, Matthieu ; Davis, Mark H A
Author_Institution
Centre for Process Syst. Eng., Imperial Coll. of Sci., Technol. & Med., London, UK
fYear
1994
fDate
27 Jun-1 Jul 1994
Firstpage
297
Abstract
The paper shows how to obtain an almost surely consistent estimate of the order of an autoregression from estimates of the partial autocovariance coefficients
Keywords
autoregressive processes; correlation theory; covariance analysis; parameter estimation; time series; AR model order determination; autoregression; partial autocorrelation coefficients; partial autocovariance coefficients; stochastic realization approach; Artificial intelligence; Autocorrelation; Convergence; Educational institutions; Equations; Minimization methods; Stochastic processes; Stochastic resonance; Systems engineering and theory; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Theory, 1994. Proceedings., 1994 IEEE International Symposium on
Conference_Location
Trondheim
Print_ISBN
0-7803-2015-8
Type
conf
DOI
10.1109/ISIT.1994.394721
Filename
394721
Link To Document