ARMA model order estimation based on the eigenvalues of the covariance matrix

Gang Liang; D.M. Wilkes; J.A. Cadzow

doi:10.1109/78.277805

ARMA model order estimation based on the eigenvalues of the covariance matrix

Gang Liang(Tennessee State University), D.M. Wilkes(Vanderbilt University), J.A. Cadzow(Vanderbilt University)

IEEE Transactions on Signal Processing

January 1, 1993

10.1109/78.277805

Cited by 139

Abstract

An approach to model order determination based on the minimum description length (MDL) criterion is proposed and shown to depend on the minimum eigenvalues of a covariance matrix derived from the observed data. A selection procedure for estimating the model order by means of the MDL method is proposed. Examples are given to illustrate the significantly improved accuracy of the technique.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>

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