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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References
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© 1991 Springer Science+Business Media New York
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Hemerly, E.M., Fragoso, M.D. (1991). On the PLS Criterion for Order Estimation of ARMA Processes with AML and a Posteriori Prediction Error. In: New Trends in Systems Theory. Progress in Systems and Control Theory, vol 7. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0439-8_45
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DOI: https://doi.org/10.1007/978-1-4612-0439-8_45
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-6760-7
Online ISBN: 978-1-4612-0439-8
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