On Noncausal Identification of Nonstationary Multivariate Autoregressive Processes

被引：0
|
作者：
Niedzwiecki, Maciej [1 ]
Ciolek, Marcin [1 ]
机构：
[1] Gdansk Univ Technol, Fac Elect Telecommun & Comp Sci, Dept Automat Control, PL-80233 Gdansk, Poland
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 2019年 / 67卷 / 03期
关键词：
System identification; adaptive order and bandwidth selection; nonstationary autoregressive processes; time series analysis; REGRESSION; SELECTION;
D O I：
10.1109/TSP.2018.2885480
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
The problem of identification of nonstationary multivariate autoregressive processes using noncausal local estimation schemes is considered and a new approach to joint selection of the model order and the estimation is proposed. The new selection rule, based on evaluation of pseudoprediction errors, is compared with the previously proposed one, based on the modified Akaike's final prediction error criterion.
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页码：769 / 782
页数：14
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