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On estimating the orders of an autoregressive moving-average process with uncertain observations

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1 Author(s)
Chow, J. ; M. I. T. Lincoln Laboratory, Lexington, MA, USA

A method is proposed for estimating the orders of an autoregressive moving-average process solely from the observations of the noise-corrupted output. The order of the autoregressive (number of poles) can be determined by testing the singularity of the correlation matrix, while the order of the moving-average (number of zeros) can be determined from observing the repetitive pattern of the correlation equations.

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Automatic Control, IEEE Transactions on  (Volume:17 ,  Issue: 5 )