Abstract
Abstract In this paper an objective method is proposed for estimating the orders of Autoregressive Moving Average processes and single input/output systems. These methods are an extension of Akaike/s Final Prediction Error (FPE) criterion, which is based on the analysis of the estimated variance of the process. It is shown from extensive numerical examples that the modified FPE predicts the correct model structure with a greater degree of consistency than previous procedures.
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