自回归模型阶数的一致估计

1980 19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes Pub Date : 1980-12-01 DOI:10.1109/CDC.1980.271948

R. Kashyap

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引用次数: 5

摘要

考虑长度为N的有限时间序列服从有限阶自回归(AR)模型的未知阶估计。我们得到了一组估计未知阶的一致格式。给出了决策规则的错误概率的显式上界。

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Consistent estimation of the order of autoregressive models

We consider the estimation of the unknown order of the autoregressive (AR) model obeyed by a finite time series of length N given only that it obeys a finite order AR model. We derive a family of consistent schemes for estimating the unknown order. We give explicit upperbounds for the probability of error of the decision rules.

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1980 19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes

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