DocumentCode
1093045
Title
A consistent estimator for the model order of an autoregressive process
Author
Ciftcioglu, Özer ; Hoogenboom, J. Eduard ; Van Dam, Hugo
Author_Institution
Fac. Electr. Eng., Istanbul Tech. Univ., Turkey
Volume
42
Issue
6
fYear
1994
fDate
6/1/1994 12:00:00 AM
Firstpage
1471
Lastpage
1477
Abstract
A consistent estimator for the model order of an autoregressive process is derived based on a statistical F test. Its asymptotic properties are considered. The procedure is compared with Akaike´s information theoretical approach and found to result in lower model orders in general
Keywords
information theory; signal processing; statistical analysis; stochastic processes; time series; Akaike´s information theory; asymptotic properties; autoregressive process; consistent estimator; model order; statistical F test; Autocorrelation; Autoregressive processes; Data analysis; Data processing; Degradation; Delay estimation; Surveillance; Testing; Time series analysis; White noise;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.286962
Filename
286962
Link To Document