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Proceedings of the European Computing Conference pp 165–177Cite as

Adaptive MV ARMA Identification Under the Presence of Noise

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Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 27))

Abstract

An adaptive method for simultaneous order estimation and parameter identification of multivariate (MV) ARMA models under the presence of noise is addressed. The proposed method is based on the well known multi-model partitioning (MMP) theory. Computer simulations indicate that the method is 100% successful in selecting the correct model order in very few steps. The results are compared with two other established order selection criteria, namely, Akaike’s information criterion (AIC) and Schwarz’s Bayesian information criterion (BIC).

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Acknowledgment

This paper is dedicated to the memory of Prof. Dimitrios G. Lainiotis, the founder of the multi-model partitioning theory, who passed away suddenly in 2006.

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Authors and Affiliations

  1. Department of Information and Communication Systems Engineering, University of the Aegean, 83200 Karlovassi Samos, Greece

    Stylianos Sp. Pappas

  2. School of Technological Applications (S.T.E.F.), Technological Educational Institution (T.E.I.) of Athens, Egaleo, Greece

    Vassilios C. Moussas

  3. Department of Technology Education and Digital Systems, University of Piraeus, 150 Androutsou St., Piraeus, 18532, Greece

    Sokratis K. Katsikas

Authors
  1. Stylianos Sp. Pappas
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  2. Vassilios C. Moussas
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  3. Sokratis K. Katsikas
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Corresponding author

Correspondence to Stylianos Sp. Pappas .

Editor information

Editors and Affiliations

  1. Military Institutes of University, Hellenic Naval Academy, Leoforos Chatzikyriakou, Piraeus, 185 39, Greece

    Nikos Mastorakis

  2. Dept. Theoretical Electrical, Technical University of Sofia, Kl. Ohridski St. 8, Sofia, 1000, Bulgaria

    Valeri Mladenov

  3. Roumelis 6, Vrilissia, 152 35, Greece

    Vassiliki T. Kontargyri

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Pappas, S.S., Moussas, V.C., Katsikas, S.K. (2009). Adaptive MV ARMA Identification Under the Presence of Noise. In: Mastorakis, N., Mladenov, V., Kontargyri, V. (eds) Proceedings of the European Computing Conference. Lecture Notes in Electrical Engineering, vol 27. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-84814-3_17

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  • DOI: https://doi.org/10.1007/978-0-387-84814-3_17

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  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-0-387-84813-6

  • Online ISBN: 978-0-387-84814-3

  • eBook Packages: EngineeringEngineering (R0)

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