Abstract:
The problem of order determination of AR (autoregressive) models using singular value decomposition (SVD) is reexamined from a statistical point of view. Thresholds for d...Show MoreMetadata
Abstract:
The problem of order determination of AR (autoregressive) models using singular value decomposition (SVD) is reexamined from a statistical point of view. Thresholds for distinguishing between significant and nonsignificant singular values are derived, and a novel iterative algorithm for order selection in AR models is presented. Simulation results show the technique to be very effective when a small number of samples is available.<>
Published in: IEEE Transactions on Signal Processing ( Volume: 39, Issue: 5, May 1991)
DOI: 10.1109/78.80960