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
fDate :
27 Jun-1 Jul 1994
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;
Conference_Titel :
Information Theory, 1994. Proceedings., 1994 IEEE International Symposium on
Conference_Location :
Trondheim
Print_ISBN :
0-7803-2015-8
DOI :
10.1109/ISIT.1994.394721
