Selection of order and type of time series models estimated from reduced statistics

Conference Record - IEEE Instrumentation and Measurement Technology Conference

Volumn 2, Issue , 2002, Pages 1309-1314

  Broersen, P M T ^a   De Waele, S ^a  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

Autocorrelation; Autocovariance function; Order selection; Parameter estimation; Power spectral density; Spectral analysis; System identification

Indexed keywords

CORRELATION METHODS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; SPECTRUM ANALYSIS;

AUTOCORRELATION; AUTOCOVARIANCE FUNCTION; TIME SERIES MODELING;

TIME SERIES ANALYSIS;

EID: 0036045552     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (14)

1. Facts and fiction in spectral analysis
2. The fitting of time series models
3. Autoregressive model orders for Durbin's MA and ARMA estimators
4. Spectrum analysis-a modern perspective
5. Identification of autoregressive moving-average parameters of time series
6. Improving the efficiency of reduced statistics ARMA estimators
7. Efficient estimation of parameters in moving average models
8. Automatic spectral analysis with time series models
9. Finite sample criteria for autoregressive order selection
10. The quality of models for ARMA processes
11. How to handle colored observation noise in large-scale least-squares problems? Part II, building the optimal filter