New Research on Causal Mixed-Phase ARMA Model Order Determination

On the assumption that the ARMA model is causal and nonminimum phase, sample autocorrelation function and sample higher order cumulant are respectively used to form the special matrixes. And then the singular value decomposition (SVD) method is taken to determine the AR order via estimating the effectual rank of the special matrix. The author proposes a new MA model order determination method via combining the information theoretic criteria method and higher-order cumulant method. Numerical simulations demonstrate that the approach proposed in this paper can improve the precision of higher order cumulants based method. And the new approach has great potential value.