On the PLS Criterion for Order Estimation of ARMA Processes with AML and a Posteriori Prediction Error

Elder M Hemerly,Marcelo D Fragoso

doi:10.1007/978-1-4612-0439-8_45

On the PLS Criterion for Order Estimation of ARMA Processes with AML and a Posteriori Prediction Error

Elder M Hemerly, Marcelo D Fragoso

https://doi.org/10.1007/978-1-4612-0439-8_45

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Publication Date: Jan 1, 1991

Affiliation: Laboratório Nacional de Computação Científica, Instituto Tecnológico de Aeronáutica

#Predictive Least Squares Criterion #Predictive Least Squares + Show 8 more

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Abstract

In this paper the general formula of the PLS(Predictive Least Squares) criterion for order estimation is worked out under the assumption that the parameter estimates are calculated via the AML(Approximate Maximum Likelihood). A particular case is then carefully analysed and it is shown that depending on the system generating the data the PLS criterion using the a posteriori prediction error can, surprisingly, almost surely overestimate the true order.

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