An order-testing criterion for mixed autoregressive moving average processes
- 1 November 1974
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 20 (5), 817-834
- https://doi.org/10.1080/00207177408932784
Abstract
In this paper an objective method is proposed for estimating the orders of Autoregressive Moving Average processes and single input/output systems. These methods are an extension of Akaike/s Final Prediction Error (FPE) criterion, which is based on the analysis of the estimated variance of the process. It is shown from extensive numerical examples that the modified FPE predicts the correct model structure with a greater degree of consistency than previous procedures.Keywords
This publication has 9 references indexed in Scilit:
- Estimation of power spectra with finite-order autoregressive modelsIEEE Transactions on Automatic Control, 1973
- On estimating the orders of an autoregressive moving-average process with uncertain observationsIEEE Transactions on Automatic Control, 1972
- Comparison of different methods for identification of industrial processesAutomatica, 1972
- Autoregressive model fitting for controlAnnals of the Institute of Statistical Mathematics, 1971
- System identification—A surveyAutomatica, 1971
- Maximum likelihood identification of stochastic linear systemsIEEE Transactions on Automatic Control, 1970
- An innovations approach to least-squares estimation--Part I: Linear filtering in additive white noiseIEEE Transactions on Automatic Control, 1968
- On the Statistical Treatment of Linear Stochastic Difference EquationsEconometrica, 1943
- On the mathematical foundations of theoretical statisticsPhilosophical Transactions of the Royal Society A, 1922