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Browse Journals & Magazines > Signal Processing, IEEE Trans ...> Volume:41 Issue:10 Help

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

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

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

Published in:
Signal Processing, IEEE Transactions on  (Volume:41 ,  Issue: 10 )

Date of Publication: Oct 1993

Page(s):
3003 - 3009
ISSN :
1053-587X
INSPEC Accession Number:
4557212
Digital Object Identifier :
10.1109/78.277805
Product Type:
Journals & Magazines
Date of Current Version :
06 August 2002
Issue Date :
Oct 1993
Sponsored by :
IEEE Signal Processing Society

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