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Autoregression estimation using final prediction error

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2 Author(s)
Yarman, F. ; Princeton University, Princeton, NJ ; Dickinson, B.W.

We propose a modification of the autoregressive estimation based on residual emergy ratios that employs the Final Prediction Error (FPE) quantity of Akaike. The effect is to "taper" the partial correlation coefficient estimates by a multiplicative factor depending on model order and the number of observations.

Published in:

Proceedings of the IEEE  (Volume:70 ,  Issue: 8 )