Modified AIC rule for model selection in combination with prior estimated noise models (Q1614314)
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scientific article
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| English | Modified AIC rule for model selection in combination with prior estimated noise models |
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Modified AIC rule for model selection in combination with prior estimated noise models (English)
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5 September 2002
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The authors discuss the use of the AIC model selection rule in combination with prior estimated noise models when model errors are present. When a prior estimated noise model is used as a weighting in the cost function, it is shown that a multiplicative model complexity penalty term is needed. The connexion of this result with the classical prediction error framework is examined.
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AIC
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model selection
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model errors
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