Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood

DOI10.1109/TSP.2010.2091956MaRDI QIDQ4572782zbMATH OpenOpenAlexFDO

Authors Daniel F. Schmidt, Enes Makalic

Publication date 18 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2010.2091956

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• Publication:3473999
• On determination of the order of an autoregressive model
• scientific article; zbMATH DE number 721884
• scientific article; zbMATH DE number 1918631
• Order estimation of AR and ARMA models
• Determining the order of the functional autoregressive model
• scientific article; zbMATH DE number 4003311
• ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS
• THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION
• Maximum likelihood estimators in nonlinear autoregressive processes

Cited in

(3)

• scientific article; zbMATH DE number 195188 (Why is no real title available?)
• Modified Maximum Likelihood Estimation in First-Order Autoregressive Moving Average Models with some Non-Normal Residuals
• Estimation of stationary autoregressive models with the Bayesian LASSO

This page was built for publication: Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4572782)