DocumentCode
832230
Title
The order determination problem for linear time-varying AR models
Author
Kozin, F. ; Nakajima, F.
Author_Institution
Polytechnic Institute of New York, Brooklyn, NY, USA
Volume
25
Issue
2
fYear
1980
fDate
4/1/1980 12:00:00 AM
Firstpage
250
Lastpage
257
Abstract
We are often faced with the problem of estimating the number of parameters, as well as their values, for a model that will fit a given set of observations. An important study of this identification problem was made by Akaike, who improved the maximum likelihood principle and established the so-called AIC criterion to select suitable models. This criterion has been applied extensively to constant coefficient AR models. The question of validity of the AIC approach for more general models appears to be open. Motivated by the desire to model nonstationary geophysical data the main purpose of this paper is to establish conditions guaranteeing the validity of the AIC approach to a class of time-varying AR models.
Keywords
Autoregressive processes; Linear systems, time-varying discrete-time; Parameter estimation; System identification; maximum-likelihood (ML) estimation; Automatic control; Entropy; Extraterrestrial measurements; Geophysical measurements; Maximum likelihood estimation; Parameter estimation;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1980.1102318
Filename
1102318
Link To Document