On Finite Sample Theory for Autoregressive Model Order Selection

DOI10.1109/TSP.1993.193138MaRDI QIDQ4034629zbMATH OpenFDO

Authors P. M. T. Broersen, H. E. Wensink

Publication date 16 May 1993

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.1993.193138

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cited in

(5)

• Akaike's information criterion correction for the least-squares autoregressive spectral estimator
• A robust recursive technique for pole-zero system model order estimation
• A new coefficient estimation method for autoregressive systems using cumulants
• New autoregressive (AR) order selection criteria based on the prediction error estimation
• Estimating the steady-state mean from short transient simulations

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