Order selection of autoregressive models
نویسندگان
چکیده
This correspondence addreskes the problem of order determination of autoregressive models by Bayesian predictive densities. A criterion is derived employing noninformative prior densities of the model parameters. The form of the obtained criterion coincides with that of Rissanen in 1161. Simulation results are presented which demonstrate the good performance of the criterion, and comparisons with four other popular approaches verify its superiority in many cases.
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ورودعنوان ژورنال:
- IEEE Trans. Signal Processing
دوره 40 شماره
صفحات -
تاریخ انتشار 1992