Automatic identification of ARMA systems

DOI10.1080/03081070701655259MaRDI QIDQ3603708zbMATH OpenOpenAlexFDO

Authors Adnan M. Al-Smadi

Publication date 18 February 2009

Published in International Journal of General Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03081070701655259

zbMATH Keywords

cumulantsmodel ordersmodel parametersnon-Gaussian processstochastic processsystem identification

Mathematics Subject Classification ID

System identification (93B30) Identification in stochastic control theory (93E12)

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Cites work

• A Study of Autoregressive and Window Spectral Estimation
• A universal prior for integers and estimation by minimum description length
• An efficient approach for computing non-Gaussian ARMA model coefficients using Pisarenko's method
• ARMA model order estimation based on the eigenvalues of the covariance matrix
• Cumulant-based order selection of non-Gaussian autoregressive moving average models: The corner method
• scientific article; zbMATH DE number 432498 (Why is no real title available?)
• scientific article; zbMATH DE number 53045 (Why is no real title available?)
• The Fitting of Time-Series Models

Cited in

(17)

• ARMA identification
• Identification of ARMA models using intermittent and quantized output observations
• Forecasting seasonal time series based on fuzzy techniques
• Instability detection of ARMA systems based on AR system identification
• A least-squares-based algorithm for identification of non-Gaussian ARMA models
• Blind identification of an autoregressive system using a nonlinear dynamical approach
• ARMA model order estimation of non-Gaussian process using the determinant of sub-matrices of a third order cumulants covariance matrix
• ARMA model order and parameter estimation using genetic algorithms
• LD/sup 2/-ARMA identification algorithm
• On the identifiability of non-Gaussian ARMA models using cumulants
• Analysis of seasonal time series using fuzzy approach
• scientific article; zbMATH DE number 3913497 (Why is no real title available?)
• A new coefficient estimation method for autoregressive systems using cumulants
• scientific article; zbMATH DE number 916416 (Why is no real title available?)
• The estimation of the order of an ARMA process using third-order statistics
• A robust ARMA system identification based on the vector method
• Cumulant-based order selection of non-Gaussian autoregressive moving average models: The corner method

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