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Order selection of autoregressive models
Djuric, P.M.; Kay, S.M.;
Signal Processing, IEEE Transactions on [see also Acoustics, Speech, and Signal Processing, IEEE Transactions on]
Volume 40,
Issue 11,
Nov. 1992
Page(s):2829
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2833
Abstract:
The problem of determining the order of autoregressive models by Bayesian predictive densities is addressed. A criterion employing noninformative prior densities of the model parameters is derived. Simulation results which demonstrate the good performance of the criterion are presented. Comparisons with four popular approaches verify its superiority in many cases
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