Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models

For a set of T independent observations of the same N-variate correlated Gaussian process, we derive a method of estimating the order of an autoregressive (AR) model of this process, regardless of its stationary or time-varying nature. We also derive a test to discriminate between stationary AR models of order m,AR(m), and time-varying autoregressive models of order m,TVAR(m). We demonstrate that within this technique the number T of independent identically distributed data samples required for order estimation and discrimination just exceeds the maximum possible order m <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">max</sub> , which in many cases is significantly fewer than the dimension of the problem N