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Parametric model order estimation: A brief review

Abstract:
An important topic in parametric modelling is the question of the `correct' model order. The correct order is not the true order, nor is the correct order the one with minimum residual error as it is a monotonic decreasing function of the model order. The optimal order is the one which decreases the prediction error on an unobserved data set. Methods such as the Yule-Walker approach, require larger sample sizes and generally give worse residual estimates than the Burg method.

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Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Role:
Author
Publisher:
IEE
Issue:
9
Host title:
IEE Colloquium (Digest)
Publication date:
1997-01-01
ISSN:
0963-3308
Source identifiers:
318937
Pubs id:
pubs:318937
UUID:
uuid:94618651-506e-4267-946c-ea142c348e9a
Local pid:
pubs:318937
Deposit date:
2012-12-19

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