Title :
ARMA model order estimation based on the eigenvalues of the covariance matrix
Author :
Liang, Gang ; Wilkes, D. Mitchell ; Cadzow, James A.
Author_Institution :
Dept. of Electr. Eng., Tennessee State Univ., Nashville, TN, USA
fDate :
10/1/1993 12:00:00 AM
Abstract :
An approach to model order determination based on the minimum description length (MDL) criterion is proposed and shown to depend on the minimum eigenvalues of a covariance matrix derived from the observed data. A selection procedure for estimating the model order by means of the MDL method is proposed. Examples are given to illustrate the significantly improved accuracy of the technique
Keywords :
eigenvalues and eigenfunctions; matrix algebra; parameter estimation; signal processing; ARMA model order estimation; covariance matrix; eigenvalues; minimum description length; Biomedical signal processing; Covariance matrix; Direction of arrival estimation; Eigenvalues and eigenfunctions; Parameter estimation; Radar applications; Sensor arrays; Signal processing; Speech processing; System identification;
Journal_Title :
Signal Processing, IEEE Transactions on
