The order determination problem for linear time-varying AR models

DOI10.1109/TAC.1980.1102318zbMath0442.93058MaRDI QIDQ3885654

Fumio Nakajima, Frank Kozin

Publication date: 1980

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

zbMATH Keywords

nonstationary time seriesmaximum likelihood principle

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Model systems in control theory (93C99)

Related Items (6)

ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS ⋮ Model-structure selection by cross-validation ⋮ Stabilization of Subba Rao-Liporace models. ⋮ Time-frequency analysis of multichannel signals using two-sided autoregressive modeling ⋮ Order estimation of AR and ARMA models ⋮ Seismic waves and correlation autoregressive processes

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