THE QUALITY OF MODELS FOR ARMA PROCESSES

Authors
BROERSEN PMT
Citation
Pmt. Broersen, THE QUALITY OF MODELS FOR ARMA PROCESSES, IEEE transactions on signal processing, 46(6), 1998, pp. 1749-1752
Citations number
12
Categorie Soggetti
Engineering, Eletrical & Electronic
Journal title
IEEE transactions on signal processing → ACNP
ISSN journal
1053587X
Volume
46
Issue
6
Year of publication
1998
Pages
1749 - 1752
Database
ISI
SICI code
1053-587X(1998)46:6<1749:TQOMFA>2.0.ZU;2-S
Abstract
The model error (ME) is an objective measure for assessing the quality of different models of a given ARMA process. The expression for ME ca n be evaluated easily in the time domain. This quality measure for kno wn and given processes is necessary for an objective comparison of the performance of estimation algorithms and of order selection criteria.