An application of a BIC-type method to harmonic analysis and a new criterion for order determination of an AR process
An application of a BIC-type method to harmonic analysis and a new criterion for order determination of an AR process
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BIC型方法在调和分析中的应用及AR过程阶数确定的新准则
DOI：
10.1109/29.56060
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发表时间：
1990
期刊：
影响因子：
--
通讯作者：
H. Sakai
中科院分区：
文献类型：
--
作者：
H. Sakai
讨论了谐波分析中的一个经典问题，即周期是级数长度的约数，干扰噪声是白色高斯噪声。提出了一种方法，其中存在或不存在的谐波是由贝叶斯信息准则（BIC）类型的方法确定。该准则是根据极值统计理论导出的。一个Hopfield神经网络实现的计划，并提出了一些模拟结果，以证明该方法的有效性。将上述思想应用于自回归（AR）过程的定阶问题。给出了该判据与现有判据（如常用的BIC判据和E. J. Hannan和B.G.奎因（见J.罗伊。中央集权主义者索科，Ser. B，vol.41，p.190-5，1979）中的方法进行了澄清。>
A classical problem in harmonic analysis is discussed that arises when the periods are divisors of the series length and the disturbance noise is white Gaussian. An approach is presented whereby the presence or absence of the harmonics is determined by a method of the Bayesian information criterion (BIC) type. The criterion is derived based on the theory of statistics of extremes. A Hopfield neural network implementation of the scheme is shown and some simulation results are presented to demonstrate the effectiveness of the method. The above idea is applied to the order determination problem of an autoregressive (AR) process. Relations between the criterion presented and other existing ones, such as the usual BIC and the criterion of by E.J. Hannan and B.G. Quinn (see J. Roy. Statist. Soc., Ser. B, vol.41, p.190-5, 1979), are clarified. >