NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES

doi:10.1137/090768680

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	NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES
	Chen, Han-Fu1 ; Zhao, Wen-Xiao 2
	2010
发表期刊	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN	0363-0129
卷号	48 期号:6 页码:4157-4176
摘要	Let the observation {y(k)} be generated by the multivariate ARMA process A(z)y(k) = C(z)w(k) with unknown coefficients theta(A), theta(C) and orders (p, r), where {w(k)} is a sequence of independent and identically distributed (i.i.d.) random vectors with zero mean and unknown covariance matrix R-w > 0. A new method for estimating the orders (p, r) is introduced. In contrast to most of the existing results, the new method is not based on optimizing a certain criterion, and the order estimates given in the paper are rather easy to update computationally in comparison with the criterion-optimization-based methods when new data arrive. The method is then extended to determining the orders of ARMAX processes. Under reasonable conditions the estimates are proved to converge to the true orders with probability one as time tends to infinity.
关键词	ARMA ARMAX order estimation convergence rate strong consistency
DOI	10.1137/090768680
语种	英语
资助项目	National Natural Science Foundation of China (NSFC)[60821091] ; National Natural Science Foundation of China (NSFC)[60874001] ; National Natural Science Foundation of China (NSFC)[60625305] ; National Natural Science Foundation of China (NSFC)[60721003] ; National Laboratory of Space Intelligent Control ; 973 Program[2009CB320602]
WOS研究方向	Automation & Control Systems ; Mathematics
WOS类目	Automation & Control Systems ; Mathematics, Applied
WOS记录号	WOS:000278365200022
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9483
专题	系统科学研究所
通讯作者	Chen, Han-Fu
作者单位	1.Chinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, AMSS, Beijing 100190, Peoples R China 2.Tsinghua Univ, Dept Automat, Beijing 100084, Peoples R China
推荐引用方式 GB/T 7714	Chen, Han-Fu,Zhao, Wen-Xiao. NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2010,48(6):4157-4176.
APA	Chen, Han-Fu,&Zhao, Wen-Xiao.(2010).NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,48(6),4157-4176.
MLA	Chen, Han-Fu,et al."NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 48.6(2010):4157-4176.