| 基于OIVPM的特征值确定ARMA模型的结构 |
| |
| 引用本文： | 肖创柏,罗晖,李衍达.基于OIVPM的特征值确定ARMA模型的结构[J].自动化学报,1996,22(1):68-73. |
| |
| 作者姓名： | 肖创柏 罗晖 李衍达 |
| |
| 作者单位： | 1.清华大学自动化系,北京 |
| |
| 摘 要： | 基于最小描述长度(MDL)准则,提出了一种新的自回归滑动平均(ARMA)模型结构
辨识方法.该方法将ARMA模型的结构辨识分两步进行:首先利用超定辅助变量乘积矩
(0IVPM)的最小特征值确定自回归(AR)部分的阶,然后利用协方差矩阵的特征值估计滑
动平均(MA)部分的阶.方法的可行性与有效性通过大量的数值仿真得到验证.
|
| 关 键 词： | ARMA模型 结构辨识 最小描述长度准则 辅助变量 |
| 收稿时间： | 1994-1-14 |
Arma Model Order Determination Based on the Eigenvalues of the Overdetermined Instrumental Variable Produce Moment |
| |
| Xiao Chuangbai,Luo Hui,Li Yanda.Arma Model Order Determination Based on the Eigenvalues of the Overdetermined Instrumental Variable Produce Moment[J].Acta Automatica Sinica,1996,22(1):68-73. |
| |
| Authors: | Xiao Chuangbai Luo Hui Li Yanda |
| |
| Affiliation: | 1.Dept.of Automation,Tsinghua University,Beijing |
| |
| Abstract: | Based on the MDL criterion, a computationally efficient method for the order determination of ARMA models is proposed in this paper. Order determination is accomplished in two stages, i.e., the AR order is first determined by the minimum eigenvalue of overdetermined instrumental variable product moment (OIVPM ) and the MA order is then estimated by the minimum eigenvalues of a covariance matrix derived from the observed data. The performance of the algorithm is illustrated by extensive numerical examples. |
| |
| Keywords: | |
| 本文献已被 CNKI 维普 等数据库收录！ |
| 点击此处可从《自动化学报》浏览原始摘要信息 |
|
点击此处可从《自动化学报》下载全文 |
|
