Finite sample properties of ARMA order selection

IEEE Transactions on Instrumentation and Measurement

Volumn 53, Issue 3, 2004, Pages 645-651

  Broersen, Piet M T ^a   De Waele, Stijn ^b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b PHILIPS RESEARCH LABORATORIES   (Netherlands)

Author keywords

ARMA process; Hierarchical model; Order selection; Penalty factor; Spectral analysis; Time series model

Indexed keywords

MATHEMATICAL MODELS; PARAMETER ESTIMATION; SPECTRUM ANALYSIS; TIME SERIES ANALYSIS;

AUTOREGRESSIVE MOVING AVERAGE; ORDER SELECTION; PENALTY FACTOR; TIME SERIES MODEL;

HIERARCHICAL SYSTEMS;

EID: 2942605849     PISSN: 00189456     EISSN: None     Source Type: Journal    
DOI: 10.1109/TIM.2004.827058     Document Type: Article

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