Order selection for arma parametric spectrum estimation

The conventional criteria of order selection have concentrated on the so called 'consistency' of selecting the 'true' order. In an effort towards an optimal order selection for the ARMA parametric spectrum estimation, the model spectral distance (MSD) is proposed to measure the difference between the two concerned models. The distinction between the consistent and the optimal orders is illustrated by the simulation examples in terms of the MSD. The parameter estimation error is evaluated through the MSD. The paper proposes a novel order selection criterion namely the model spectral distance criterion based on the comparison between this possible improvement and loss.