• DocumentCode
    3036644
  • Title

    Consistent estimation of the order of autoregressive models

  • Author

    Kashyap, R.L.

  • Author_Institution
    Purdue University, West Lafayette, Ind.
  • fYear
    1980
  • fDate
    10-12 Dec. 1980
  • Firstpage
    986
  • Lastpage
    987
  • Abstract
    We consider the estimation of the unknown order of the autoregressive (AR) model obeyed by a finite time series of length N given only that it obeys a finite order AR model. We derive a family of consistent schemes for estimating the unknown order. We give explicit upperbounds for the probability of error of the decision rules.
  • Keywords
    Upper bound;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control including the Symposium on Adaptive Processes, 1980 19th IEEE Conference on
  • Conference_Location
    Albuquerque, NM, USA
  • Type

    conf

  • DOI
    10.1109/CDC.1980.271948
  • Filename
    4046814
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3036644