ARMA order estimation via matrix perturbation theory

DOI10.1109/TAC.1987.1104597zbMATH Open0618.93063OpenAlexW2159966787MaRDI QIDQ3755337FDOQ3755337

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

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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)

Cited In (6)

• Consistent order selection for noncausal autoregressive models via higher-order statistics
• On estimating the order of an ARMA process
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Title not available (Why is that?)
• A covariance extension approach to identification of time series
• Title not available (Why is that?)

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