Order selection for AR models by predictive least squares
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Publication:3798570
DOI10.1109/29.1560zbMath0652.93059OpenAlexW2125929640MaRDI QIDQ3798570
Publication date: 1988
Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/29.1560
consistencyorder selectionAR modelprediction errors``lattice filter recursionspredictive least squares principle
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)
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