Title :
Determination of the MA order of an ARMA process using sample correlations
Author :
Zhang, Xian-Da ; Zhang, Yuan-Sheng
Author_Institution :
Dept. of Autom., Tsinghua Univ., Beijing, China
fDate :
6/1/1993 12:00:00 AM
Abstract :
It is shown that autoregressive information and moving average information are implicitly contained in two different correlation matrices. An algorithm for MA order determination which adopts only autocorrelations and the AR order without requiring AR coefficients is proposed. Numerical simulations are presented to show the practical value of the proposed singular-value-decomposition (SVD)-based algorithm
Keywords :
correlation theory; parameter estimation; signal processing; spectral analysis; statistical analysis; ARMA process; MA order; SVD algorithm; autocorrelations; autoregressive information; correlation matrices; moving average information; numerical simulation; sample correlations; singular-value-decomposition; spectrum analysis; Autocorrelation; Automation; Equations; Error correction; Linear algebra; Mathematics; Matrix decomposition; Numerical simulation; Probability; Testing;
Journal_Title :
Signal Processing, IEEE Transactions on
