A IV based criterion for model order selection

DOI10.1016/0005-1098(96)00020-9MaRDI QIDQ1923083zbMATH OpenOpenAlexFDO

Authors Hoai Nghia Duong, Ioan Doré Landau

Publication date 1 October 1996

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(96)00020-9

zbMATH Keywords

ARX modelleast squareslinear regression-order selection

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Review text

The authors propose a new criterion for estimating the order of a scalar ARX model. The key-idea of the method is to replace the usual least squares loss function by a suitable estimate of its noiseless value. The weak convergence of the estimate is established with general assumptions on the noise together with relatively strong conditions on the input. However, the transfer function of the noise may be time-varying or of infinite order. Finally, the convergence is illustrated by numerical simulations.

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Cites work

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Cited in

(7)

• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• Recursive algorithms for identification in closed loop: A unified approach and evaluation
• A residual-information-based criterion for model order selection
• Model selection under order restriction
• The SHQC criterion for order selection in autoregressive models
• A frequency response-based model order selection criterion
• Model order determination using the Hankel matrix of impulse responses

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