Order estimation of multivariate ARMA models

IEEE Journal on Selected Topics in Signal Processing

Volumn 4, Issue 3, 2010, Pages 494-503

  Cassar, Tracey ^a   Camilleri, Kenneth P ^a   Fabri, Simon G ^a  

^a UNIVERSITY OF MALTA   (Malta)

Author keywords

Autoregressive moving average (ARMA) models; Model order estimation

Indexed keywords

AKAIKE'S INFORMATION CRITERIONS; ARMA MODEL; AUTOREGRESSIVE MOVING AVERAGE MODEL; EIGENVALUES; ERROR PROBABILITIES; MODEL ORDER; MODEL ORDER ESTIMATION; MODEL PARAMETER ESTIMATION; MODEL PARAMETERS; MODEL-ORDER SELECTION; MODIFIED MODEL; MONTE CARLO; MULTIVARIATE AUTOREGRESSIVE; NOISE LEVELS; NOISE VARIATIONS; ORDER ESTIMATION; PERFORMANCE ANALYSIS; RANDOMIZED MODELS; SIGNAL PROCESS; SIMULATED DATA; SPECTRAL FITTING; SYSTEM IDENTIFICATIONS; TIME DOMAIN;

COVARIANCE MATRIX; EIGENVALUES AND EIGENFUNCTIONS; PARAMETER ESTIMATION; PROBABILITY; SIGNAL PROCESSING; TIME DOMAIN ANALYSIS;

COMPUTER SIMULATION;

EID: 77952594439     PISSN: 19324553     EISSN: None     Source Type: Journal    
DOI: 10.1109/JSTSP.2010.2048237     Document Type: Article

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