ARMA-Order estimation via matrix perturbation theory

  title={ARMA-Order estimation via matrix perturbation theory},
  author={Jean-Jacques Fuchs},
  journal={1986 25th IEEE Conference on Decision and Control},
Allmost all methods for estimating the model order in system identification -either involve the maximization of likelihood functions, a time-consuming task, -or rely upon the determination of the rank of (covariance) matrices, a task generally achieved by means of heuristic tests. We propose a scheme belonging to this second class of methods for which, however we theoretically justify the test. Using the asymptotic properties of sample serial covariances and some results from matrix… CONTINUE READING