New autoregressive (AR) order selection criteria based on the prediction error estimation

DOI10.1016/J.SIGPRO.2011.04.021zbMATH Open1219.94034OpenAlexW1964994427MaRDI QIDQ635064FDOQ635064

Authors: Juan-Miguel Gracia 

Publication date: 19 August 2011

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2011.04.021

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zbMATH Keywords

prediction errorautoregressive model order selectionleast-squares-forward method

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cites Work

• Estimating the dimension of a model
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• Bayesian learning for neural networks
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• Order selection criteria for vector autoregressive models
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Order selection for AR models by predictive least squares
• On the residual variance and the prediction error for the LSF estimation method and new modified finite sample criteria for autoregressive model order selection
• Finite sample criteria for autoregressive model order selection
• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
• A new autoregressive spectrum analysis algorithm
• On Finite Sample Theory for Autoregressive Model Order Selection
• Improving subband spectral estimation using modified AR model
• Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions

Cited In (7)

• A new auto-regressive order selection algorithm
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Finite sample criteria for autoregressive model order selection
• Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions
• Asymptotically efficient selection of the order by the criterion autoregressive transfer function
• Order selection for AR models by predictive least squares
• Sensing fractional power spectrum of nonstationary signals with coprime filter banks

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