ORDER SELECTION OF AUTOREGRESSIVE MODELS

被引：29

作者：

DJURIC, PM ^{[1
]}

KAY, SM ^{[1
]}

机构：

[1] UNIV RHODE ISL,DEPT ELECT ENGN,KINGSTON,RI 02881

来源：

IEEE TRANSACTIONS ON SIGNAL PROCESSING | 1992年 / 40卷 / 11期

关键词：

D O I：

10.1109/78.165674

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

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.

引用

页码：2829 / 2833

页数：5

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