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ARMA model order determination and MDL: a new perspective

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3 Author(s)
Wilkes, D.M. ; Dept. of Electr. Eng., Vanderbilt Univ., Nashville, TN, USA ; Liang, G. ; Cadzow, J.A.

Much research has focused on the problem of estimating the model order of autoregressive moving average (ARMA) processes. The most well-known of the proposed solutions for this problem include the final prediction error (FPE), Akaike information criterion (AIC), and minimum description length (MDL). A new approach for model order determination based on the MDL criterion is proposed and shown to depend on the minimum eigenvalue of a covariance matrix derived from the observed data. As a result, a new selection procedure for estimating the model order via MDL is proposed. Examples that illustrate the significantly improved accuracy of the proposed technique are given

Published in:

Acoustics, Speech, and Signal Processing, 1992. ICASSP-92., 1992 IEEE International Conference on  (Volume:5 )

Date of Conference:

23-26 Mar 1992