A Method of Order Determination for ARX and ARMA Models Based on Nonnegative Garrote

摘要

Classical order determination methods of ARX and ARMA models suffer from the drawbacks of computationally infeasible and poor stability. To solve these problems, order determination using nonnegative garrote (NNG) method is proposed. By analyzing the properties of ARX and ARMA models, a modification of original NNG method is made to fit the dynamical system identification problem. Furthermore, the solution algorithm of proposed method is presented. Simulations show the validation of proposed method, which has better stability than classical information based criteria methods.