Parameters and order estimation for non-Gaussian ARMA processes

2002 ◽  
Author(s):  
A. Al-Smadi ◽  
D.M. Wilkes
Keyword(s):  
Order Estimation ◽  
Arma Processes ◽  
Non Gaussian

Order estimation by accumulated prediction errors

1986 ◽  
Vol 23 (A) ◽  
pp. 55-61 ◽  
Author(s):  
Jorma Rissanen
Keyword(s):  
Error Estimates ◽  
Statistical Models ◽  
Prediction Error ◽  
Prediction Errors ◽  
Order Estimation ◽  
Arma Processes ◽  
Consistent Error ◽  
New Criterion

This paper presents a new criterion based on prediction error which allows the estimation of the number of parameters as well as structures in statistical models. The criterion is valid for short and long samples alike. Unlike Akaike's earlier criterion, also based on prediction error, the criterion proposed here appears to produce consistent error estimates in ARMA processes.

Order estimation by accumulated prediction errors

1986 ◽  
Vol 23 (A) ◽  
pp. 55-61 ◽  
Author(s):  
Jorma Rissanen
Keyword(s):  
Error Estimates ◽  
Statistical Models ◽  
Prediction Error ◽  
Prediction Errors ◽  
Order Estimation ◽  
Arma Processes ◽  
Consistent Error ◽  
New Criterion

This paper presents a new criterion based on prediction error which allows the estimation of the number of parameters as well as structures in statistical models. The criterion is valid for short and long samples alike. Unlike Akaike's earlier criterion, also based on prediction error, the criterion proposed here appears to produce consistent error estimates in ARMA processes.

scholarly journals Robust State Estimations in Controlled ARMA Processes with the Non-Gaussian Noises: Applications to the Delayed Dynamics

2021 ◽  
Vol 54 (20) ◽  
pp. 334-339
Author(s):  
Vadim Azhmyakov ◽  
Jose Perea Arango ◽  
Moises Bonilla ◽  
Raymundo Juarez del Toro ◽  
Stefan Pickl
Keyword(s):  
Arma Processes ◽  
Non Gaussian ◽  
State Estimations
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