A new method for AR order determination of an ARMA process
Chaung-Bai Xiao, Xian‐Da Zhang, Yanda Li · IEEE Transactions on Signal Processing · 1996
Using a combination of the minimum description length (MDL) criterion and overdetermined instrumental variable method, a computationally efficient method for AR order determination of an ARMA process is proposed. It is shown that the well-known singular value decomposition (SVD) method for AR order determination is a special case of the proposed method. Numerical simulations are presented to show the effectiveness of this method.