Title :
Consistent estimation of the order of autoregressive models
Author_Institution :
Purdue University, West Lafayette, Ind.
Abstract :
We consider the estimation of the unknown order of the autoregressive (AR) model obeyed by a finite time series of length N given only that it obeys a finite order AR model. We derive a family of consistent schemes for estimating the unknown order. We give explicit upperbounds for the probability of error of the decision rules.
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1980 19th IEEE Conference on
Conference_Location :
Albuquerque, NM, USA
DOI :
10.1109/CDC.1980.271948
