ARMA model order estimation based on the eigenvalues of the covariance matrix.
Gang LiangD. Mitchell WilkesJames A. CadzowPublished in: IEEE Trans. Signal Process. (1993)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- estimation error
- eigenvalues and eigenvectors
- sample size
- positive definite
- principal components
- gaussian mixture
- eigendecomposition
- correlation matrix
- multivariate gaussian
- genetic algorithm
- optimization methods
- probabilistic model
- pairwise
- pseudo inverse