Generalizations of the Normalized Prediction Error
نویسندگان
چکیده
The Normalized Prediction Error, or NPE, can be used for the evaluation of the fit of AR models, which are estimated from signals that are generated by an AR process. The NPE does not only provide a measure of the time domain fit, but also of the frequency domain fit of an estimated model. Therefore, it is a measure that can very well be used for comparison of different estimates. In this paper, generalizations of the NPE are proposed that enable the application of the NPE to complex valued ARMA models and processes, to sinusoids in correlated ARMA noise and to the periodogram. The last extension is achieved by a method that rewrites the periodogram as an exactly equivalent MA(n− 1) model. Keywords—signal processing, spectral estimation, time series analysis.
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