DocumentCode
910976
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
Volume
41
Issue
6
fYear
1993
fDate
6/1/1993 12:00:00 AM
Firstpage
2277
Lastpage
2280
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;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.218160
Filename
218160
Link To Document