ARMA model order estimation based on the eigenvalues of the covariance matrix
Gang Liang, Don Mitchell Wilkes, JAMES A. CADZOW · IEEE Transactions on Signal Processing · 1993
An approach to model order determination based on the minimum description length (MDL) criterion is proposed and shown to depend on the minimum eigenvalues of a covariance matrix derived from the observed data. A selection procedure for estimating the model order by means of the MDL method is proposed. Examples are given to illustrate the significantly improved accuracy of the technique.>