ARMA model order estimation based on the eigenvalues of thecovariance matrix

Authors:
G. Liang;D.M. Wilkes;J.A. Cadzow
Affiliations:
Dept. of Electr. Eng., Tennessee State Univ., Nashville, TN;-;-
Venue:
IEEE Transactions on Signal Processing
Year:
1993

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Abstract

An approach to model order determination based on the minimum description length (MDL) criterion is proposed and shown to depend on the minimum eigenvalues of a covariance matrix derived from the observed data. A selection procedure for estimating the model order by means of the MDL method is proposed. Examples are given to illustrate the significantly improved accuracy of the technique