scientific article; zbMATH DE number 4106081

MaRDI QIDQ3830381zbMATH OpenFDO

Authors E. J. Hannan, A. MacDougall, D. S. Poskitt

Publication date 1989

zbMATH Keywords

minimum description length principlemodel selection criterionnon-stationary processesorder determinationrecursive estimation of autoregressive modelssimulationspeech processingstrong consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(22)

• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• On the recursive fitting of subset autoregressive-moving average process
• Strongly consistent estimation of the order of stochastic control systems (CARMA model)
• Model selection and prediction: Normal regression
• On Rissanen's predictive stochastic complexity for stationary ARMA processes
• Maximized log-likelihood updating and model selection.
• Autoregressive-output-analysis methods revisited
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Model selection by sequentially normalized least squares
• Order selection statistical test for nonstationary AR models
• Testing the order of a model
• Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
• Recursive order estimation of stochastic control systems
• LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION
• A robust recursive technique for pole-zero system model order estimation
• Order Choice in Nonlinear Autoregressive Models
• Recursive methods for estimating the radial basis function‐based state‐dependent autoregressive model
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Estimation of structure by minimum description length

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