scientific article; zbMATH DE number 1474896

MaRDI QIDQ4489470zbMATH OpenFDO

Authors Hong-Zhou Tan, Zongyuan Mao

Publication date 30 November 2001

zbMATH Keywords

AR modelsystem order identificationthird-order cumulant

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Recommendations

• Blind identification of noncausal AR models based on higher-order statistics
• Fitting ARMA models to linear non-Gaussian processes using higher order statistics.
• Identification and estimation of non-Gaussian ARMA processes
• Autoregressive order identification for VAR models with non constant variance
• On the identifiability of non-Gaussian ARMA models using cumulants
• ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
• Order estimation of AR and ARMA models
• Identification of the order of a fractionally differenced ARMA model

Cited in

(5)

• Fitting ARMA models to linear non-Gaussian processes using higher order statistics.
• Parameter estimation for INAR processes based on high-order statistics
• A new coefficient estimation method for autoregressive systems using cumulants
• Order identification for Gaussian moving averages using the codifference function
• Blind identification of noncausal AR models based on higher-order statistics

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