A Simple Method for Estimating the Orders of ARMA Processes

Sun-Ji LEE  Yuichi YOSHIDA  

IEICE TRANSACTIONS (1976-1990)   Vol.E69   No.8   pp.830-833
Publication Date: 1986/08/25
Online ISSN: 
Print ISSN: 0000-0000
Type of Manuscript: LETTER
Category: General

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A simple method is proposed for estimating the orders of ARMA processes for which the autocorrelations are given. Main efforts are made to estimate the AR order by applying the fast algorithm to solve non-symmetric Toeplitz equations. Numerical examples show the advantages of the method.