Order Selection of Autoregressive Models

Petar M. Djurić; Steven M. Kay

doi:10.1109/78.165674

Order Selection of Autoregressive Models

Petar M. Djurić
, Steven M. Kay

Electrical Engineering

University of Rhode Island

Research output: Contribution to journal › Article › peer-review

36 Scopus citations

Abstract

This correspondence addresses 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 [16]. 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.

Original language	English
Pages (from-to)	2829-2833
Number of pages	5
Journal	IEEE Transactions on Signal Processing
Volume	40
Issue number	11
DOIs	https://doi.org/10.1109/78.165674
State	Published - Nov 1992

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10.1109/78.165674

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abstract = "This correspondence addresses 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 [16]. 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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AB - This correspondence addresses 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 [16]. 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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JO - IEEE Transactions on Signal Processing

JF - IEEE Transactions on Signal Processing

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Order Selection of Autoregressive Models

Abstract

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