Adaptive MV ARMA Identification Under the Presence of Noise

Stylianos Sp. Pappas,Vassilios C. Moussas,Sokratis K. Katsikas

Lecture Notes in Electrical EngineeringProceedings of the European Computing Conference（2009）

引用 1|浏览3

暂无评分

摘要

An adaptive method for simultaneous order estimation and parameter identification of multivariate (MV) ARMA models under the presence of noise is addressed. The proposed method is based on the well known multi-model partitioning (MMP) theory. Computer simulations indicate that the method is 100% successful in selecting the correct model order in very few steps. The results are compared with two other established order selection criteria, namely, Akaike’s information criterion (AIC) and Schwarz’s Bayesian information criterion (BIC).

查看译文

关键词

Root Mean Square Error, Posterior Probability, Kalman Filter, Bayesian Information Criterion, Model Order

AI 理解论文

溯源树

样例

生成溯源树，研究论文发展脉络

Chat Paper

正在生成论文摘要