Automatic identification of ARMA systems

DOI10.1080/03081070701655259zbMath1154.93439OpenAlexW1974571009MaRDI QIDQ3603708

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

system identificationcumulantsstochastic processmodel parametersnon-Gaussian processmodel orders

Mathematics Subject Classification ID

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

Related Items (3)

ARMA model order and parameter estimation using genetic algorithms ⋮ Analysis of seasonal time series using fuzzy approach ⋮ Forecasting seasonal time series based on fuzzy techniques

Cites Work

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• Cumulant-based order selection of non-Gaussian autoregressive moving average models: The corner method
• A universal prior for integers and estimation by minimum description length
• The Fitting of Time-Series Models
• A Study of Autoregressive and Window Spectral Estimation
• ARMA model order estimation based on the eigenvalues of the covariance matrix
• An efficient approach for computing non-Gaussian ARMA model coefficients using Pisarenko's method

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