Automatic identification of time-series models from long autoregressive models

@article{Broersen2005AutomaticIO,
  title={Automatic identification of time-series models from long autoregressive models},
  author={Piet M. T. Broersen and Stijn de Waele},
  journal={IEEE Transactions on Instrumentation and Measurement},
  year={2005},
  volume={54},
  pages={1862-1868}
}
Identification is the selection of the model type and of the model order by using measured data of a process with unknown characteristics. If the observations themselves are used, it is possible to identify automatically a good time-series model for stochastic data. The selected model is an adequate representation of the statistically significant spectral details in the observed process. Sometimes, identification has to be based on many less than N characteristics of the data. The reduced… CONTINUE READING
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