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A new method for AR order determination of an ARMA process

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3 Author(s)
Chaung-Bai Xiao ; Dept. of Autom., Tsinghua Univ., Beijing, China ; Xian-Da Zhang ; Yan-Da Li

Using a combination of the minimum description length (MDL) criterion and overdetermined instrumental variable method, a computationally efficient method for AR order determination of an ARMA process is proposed. It is shown that the well-known singular value decomposition (SVD) method for AR order determination is a special case of the proposed method. Numerical simulations are presented to show the effectiveness of this method

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Signal Processing, IEEE Transactions on  (Volume:44 ,  Issue: 11 )