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Algorithms for selecting the order and estimating the parameters of an AR process, which is driven by noise having an underlying non-Gaussian distribution, from the observed noisy time series are presented. The order selection algorithm makes use of the growing memory covariance predictive least-squares (GMCPLS) criterion together with diagonal slices of the third-order cumulant plane. A triangular region of the third-order cumulant plane is used to estimate the model parameters. Extensive simulation results are presented and based on these trends, one of which has been verified using real data obtained from a rotating machine, recommendations are made on the efficacy of methods for AR order selection and parameter estimation problems.
J.R. Dickie (Sun,) studied this question.