DocumentCode
855483
Title
ARMA order estimation via matrix perturbation theory
Author
Fuchs, Jean Jacques
Author_Institution
IRISA Unierviste de Rennes I, Campus de Beaulieu, Rennes Cédex, France and CRECO CNRS Systemes Adaptatifs, France
Volume
32
Issue
4
fYear
1987
fDate
4/1/1987 12:00:00 AM
Firstpage
358
Lastpage
361
Abstract
Using matrix perturbation theory, we obtain the statistical distribution of the smallest eigenvalue of the Hankel matrix built upon the estimated covariances, under the hypothesis that the corresponding exact Hankel matrix possesses one single zero eigenvalue. This allows us to develop and justify a new order determination scheme, whose performance appears similar to those based on likelihood maximization, but with a much lower computational complexity.
Keywords
Autoregressive moving-average processes; Covariance matrices; Eigenvalues/eigenvectors; Hankel matrices; Perturbation methods; Automatic control; Control systems; Covariance matrix; Eigenvalues and eigenfunctions; Linear approximation; Matrix decomposition; Reduced order systems; Stochastic processes; Stochastic systems; Testing;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1987.1104597
Filename
1104597
Link To Document