Search
Abstract
The problem of identification of nonstationary multivariate autoregressive processes using noncausal local estimation schemes is considered and a new approach to joint selection of the model order and the estimation bandwidth is proposed. The new selection rule, based on evaluation of pseudoprediction errors, is compared with the previously proposed one, based on the modified Akaike’s final prediction error criterion.
Citations
-
0
CrossRef
-
0
Web of Science
-
0
Scopus
Authors (2)
Cite as
Full text
download paper
downloaded 43 times
- Publication version
- Accepted or Published Version
- License
- Copyright (2019 IEEE)
Keywords
Details
- Category:
- Articles
- Type:
- artykuł w czasopiśmie wyróżnionym w JCR
- Published in:
-
IEEE TRANSACTIONS ON SIGNAL PROCESSING
no. 67,
pages 769 - 782,
ISSN: 1053-587X - Language:
- English
- Publication year:
- 2019
- Bibliographic description:
- Niedźwiecki M., Ciołek M.: On Noncausal Identification of Nonstationary Multivariate Autoregressive Processes// IEEE TRANSACTIONS ON SIGNAL PROCESSING. -Vol. 67, iss. 3 (2019), s.769-782
- DOI:
- Digital Object Identifier (open in new tab) 10.1109/tsp.2018.2885480
- Verified by:
- Gdańsk University of Technology
seen 171 times