Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models

@article{Abramovich2007OrderEA,
  title={Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models},
  author={Yuri I. Abramovich and Nicholas K. Spencer and Michael D. E. Turley},
  journal={IEEE Transactions on Signal Processing},
  year={2007},
  volume={55},
  pages={2861-2876}
}
For a set of T independent observations of the same N-variate correlated Gaussian process, we derive a method of estimating the order of an autoregressive (AR) model of this process, regardless of its stationary or time-varying nature. We also derive a test to discriminate between stationary AR models of order m,AR(m), and time-varying autoregressive models of order m,TVAR(m). We demonstrate that within this technique the number T of independent identically distributed data samples required for… CONTINUE READING
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