Title :
The discriminant analysis of multivariate time series (Corresp.)
Author :
Krzysko, Miroslaw
fDate :
7/1/1983 12:00:00 AM
Abstract :
Discrimination among multivariate autoregressive processes by Bayes´ method is described. The determination of the true order of the multivariate autoregressive equation is also investigated; the estimator of the true order is obtained by minimizing the posterior risk.
Keywords :
Autoregressive processes; Bayes procedures; Pattern classification; Autoregressive processes; Bayesian methods; Covariance matrix; Difference equations; Mathematics; Random variables; Stochastic processes; Stochastic systems; Time measurement; Time series analysis;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1983.1056699
