New method of order estimation for ARMA/ARMAX processes

DOI10.1137/090768680zbMATH Open1208.65021OpenAlexW1976157318MaRDI QIDQ3058499FDOQ3058499

Authors: Hanfu Chen, Wenxiao Zhao 

Publication date: 3 December 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090768680

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zbMATH Keywords

strong consistencyconvergence rateorder estimationARMAX processesautoregressive moving average (ARMA) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cited In (13)

• An ARMA order selection method with fuzzy reasoning.
• ARMA model order and parameter estimation using genetic algorithms
• Fast algorithm for identification of an ARX model and its order determination
• Recursive identification of errors-in-variables Wiener-Hammerstein systems
• Recursive identification of errors-in-variables Wiener systems
• Distributed order estimation for continuous-time stochastic systems
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• Kernel-based local order estimation of nonlinear nonparametric systems
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• A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES
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• The estimation of the order of an ARMA process using third-order statistics
• Distributed Order Estimation of ARX Model under Cooperative Excitation Condition

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