Autoregressive model fitting with noisy data by Akaike's information criterion (Corresp.)

DOI10.1109/TIT.1975.1055402zbMath0314.62040MaRDI QIDQ4074267

Howell Tong

Publication date: 1975

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (5)

Novel parameter estimation of autoregressive signals in the presence of noise ⋮ Identifying coherent structures in nonlinear wave propagation ⋮ Inverse filtering based method for estimation of noisy autoregressive signals ⋮ Recursive parameter estimation of an autoregressive process disturbed by white noise ⋮ The asymptotic joint distribution of the estimated autoregressive coefficients

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