A CONSISTENT ESTIMATOR FOR THE MODEL ORDER OF AN AUTOREGRESSIVE PROCESS

Authors
CIFTCIOGLU O HOOGENBOOM JE VANDAM H
Citation
O. Ciftcioglu et al., A CONSISTENT ESTIMATOR FOR THE MODEL ORDER OF AN AUTOREGRESSIVE PROCESS, IEEE transactions on signal processing, 42(6), 1994, pp. 1471-1477
Citations number
25
Categorie Soggetti
Acoustics
Journal title
IEEE transactions on signal processing → ACNP
ISSN journal
1053587X
Volume
42
Issue
6
Year of publication
1994
Pages
1471 - 1477
Database
ISI
SICI code
1053-587X(1994)42:6<1471:ACEFTM>2.0.ZU;2-E
Abstract
A consistent estimator for the model order of an autoregressive proces s is derived based on a statistical F test. Its asymptotic properties are considered. The procedure is compared with Akaike's information th eoretical approach and found to result in lower model orders in genera l.