AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms

DOI10.1016/j.sigpro.2009.07.011zbMath1177.94087WikidataQ58466645 ScholiaQ58466645MaRDI QIDQ1048842

Seyed Alireza Razavi, Ciprian Doru Giurcăneanu

Publication date: 8 January 2010

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2009.07.011

zbMATH Keywords

autoregressive models; non-stationary signals; order selection; information theoretic criteria; forgetting factor least-squares algorithms

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

93E10: Estimation and detection in stochastic control theory

94A13: Detection theory in information and communication theory

Related Items

New autoregressive (AR) order selection criteria based on the prediction error estimation

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