ARMA order estimation via matrix perturbation theory

DOI10.1109/TAC.1987.1104597MaRDI QIDQ3755337zbMATHOpenAlexFDO

Authors Jean-Jacques Fuchs

Publication date 1987

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1987.1104597

zbMATH Keywords

matrix perturbation theoryARMA modelHankel matrixorder determination

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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