ARMA order estimation via matrix perturbation theory

DOI10.1109/TAC.1987.1104597zbMath0618.93063OpenAlexW2159966787MaRDI QIDQ3755337

Jean-Jacques Fuchs

Publication date: 1987

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1987.1104597

zbMATH Keywords

Hankel matrixARMA modelorder determinationmatrix perturbation theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (3)

On estimating the order of an ARMA process ⋮ Consistent order selection for noncausal autoregressive models via higher-order statistics ⋮ A covariance extension approach to identification of time series

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