WILL THE PLS CRITERION FOR ORDER ESTIMATION WORK WITH AML AND A-POSTERIORI PREDICTION ERROR

被引：0
|
作者：
HEMERLY, EM
FRAGOSO, MD
机构：
[1] CTR TECH AEROSP,INST TECHNOL AERONAUT,IEEE,BR-12225 SAO JOSE CAMPOS,SP,BRAZIL
[2] CONSELHO NACL PESQUISAS,DEPT PESQUISA & DESENVOLVIMENTO,NACL COMP CIENT LAB,BR-22290 RIO DE JANEIRO,RJ,BRAZIL
来源：
SYSTEMS & CONTROL LETTERS | 1990年 / 14卷 / 01期
关键词：
ARMA models; model order estimation; predictive least squares;
D O I：
10.1016/0167-6911(90)90085-9
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The general formula of the PLS (Predictive Least Squares) criterion for order estimation is worked out under the assumption that the parameter estimates are calculated via the AML (Approximate Maximum Likelihood). A particular case is then carefully analysed and it is shown that depending on the system generating the data the PLS critetion using the a posteriori prediction error can, surprisingly, almost surely overestimate the true order. © 1990.
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页码：79 / 92
页数：14
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