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Estimation of the order of autoregressive process

 

作者: NAOHIBO ISHII,   NOBUO SUZUMURA,  

 

期刊: International Journal of Systems Science  (Taylor Available online 1977)
卷期: Volume 8, issue 8  

页码: 905-913

 

ISSN:0020-7721

 

年代: 1977

 

DOI:10.1080/00207727708942090

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Though there are several methods for estimating the order of the autoregressive process, it is hoped that it can be estimated with high sensitivity. In this paper, an approach based on an information measure which characterizes the autoregressive process has boon made to the estimation of the order of the process. A mixing operator, which is found by adding an independent random variable to the sub-sequence of the original data sequence, is introduced. By applying the operator to the conditional entropies, we developed a statistic which estimates the order of the autoregressive process. Results of computer simulation are presented to verify and compare this algorithm with other methods.

 

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