确定ARMA模型MA阶数的一种方法
An Approach to MA Order Determination of ARMA Processes
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摘要: 本文提出一种ARMA模型MA定阶的新方法.其基本思想是,将阶数确定转化为一上 三角阵的秩的确定.仿真例子表明,该方法在数值上是鲁棒的.Abstract: This paper proposes an approach to MA order identification of general ARMA models using sample autocorrelations and AR parameter estimates. In this approach, the order identification reduces to the rank determination of an upper triangular matrix, whereas it can be accomplished by using simpler computations. The simulation examples show that our approach has good statistical performances arid is numerically robust.
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Key words:
- system identification /
- ARMA model /
- order determination /
- SVD /
- total least squares
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