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Threshold Bounds in SVD and a New Iterative algorithm for Order Selection in AR Models

Konstantinides, Konstantinos

HPL-90-09

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Abstract: The problem of order determination of AR models usi singular value decomposition is reexamined from a statistical point of view. Thresholds for distinguishing between significant and non significant singular value are derived and a new iterative algorithm for order selection in AR models is presented. Simulation results show the new technique to be very effective even when small number of samples is available.

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