DocumentCode
1382886
Title
The quality of models for ARMA processes
Author
Broersen, P.M.T.
Author_Institution
Dept. of Appl. Phys., Delft Univ. of Technol., Netherlands
Volume
46
Issue
6
fYear
1998
fDate
6/1/1998 12:00:00 AM
Firstpage
1749
Lastpage
1752
Abstract
The model error (ME) is an objective measure for assessing the quality of different models of a given ARMA process. The expression for ME can be evaluated easily in the time domain. This quality measure for known and given processes is necessary for an objective comparison of the performance of estimation algorithms and of order selection criteria
Keywords
autoregressive moving average processes; frequency-domain analysis; parameter estimation; signal processing; spectral analysis; time series; time-domain analysis; ARMA process; estimation algorithms; model error; objective measure; order selection criteria; performance; quality; time domain; Computer errors; Error correction; Frequency domain analysis; Frequency estimation; Mathematical model; Physics; Predictive models; Signal generators; Signal processing algorithms; Time measurement;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.678516
Filename
678516
Link To Document