| Hi-index | 35.68 |
Singular-value-decomposition (SVD)-based moving-average (MA) order determination of non-Gaussian processes using higher-order statistics is addressed. It is shown that the MA order determination of autoregressive moving-average (ARMA) models is equivalent to the rank determination of a certain error matrix, and a SVD approach is proposed. Its simplified form is applied to pure MA models. To improve the robustness of the order selection, a combination of the SVD and the product of diagonal entries (PODE) test is proposed. Some interesting applications of the two SVD approaches are presented, and simulations verify their performance