Order selection for AR models by predictive least squares

DOI10.1109/29.1560zbMath0652.93059OpenAlexW2125929640MaRDI QIDQ3798570

Mati Wax

Publication date: 1988

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.1560

zbMATH Keywords

consistencyorder selectionAR modelprediction errors``lattice filter recursionspredictive least squares principle

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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