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A consistent estimator for the model order of an autoregressive process

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3 Author(s)
O. Ciftcioglu ; Fac. Electr. Eng., Istanbul Tech. Univ., Turkey ; J. E. Hoogenboom ; H. van Dam

A consistent estimator for the model order of an autoregressive process is derived based on a statistical F test. Its asymptotic properties are considered. The procedure is compared with Akaike's information theoretical approach and found to result in lower model orders in general

Published in:

IEEE Transactions on Signal Processing  (Volume:42 ,  Issue: 6 )