Finite sample FPE and AIC criteria for autoregressive model order selection using same-realization predictions

DOI10.1155/2009/475147zbMATH Open1192.94050OpenAlexW2091380732WikidataQ59250285 ScholiaQ59250285MaRDI QIDQ983765FDOQ983765

Authors: Shapoor Khorshidi, Mahmood Karimi 

Publication date: 26 July 2010

Published in: EURASIP Journal on Advances in Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2009/475147

Recommendations

• Finite sample criteria for autoregressive model order selection
• Order selection for same-realization predictions in autoregressive processes
• New autoregressive (AR) order selection criteria based on the prediction error estimation
• Order selection of a multivariate autoregressive model by a modification of the FPE criterion
• Order selection for AR models by predictive least squares

Mathematics Subject Classification ID

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

Cites Work

• Statistical predictor identification
• Order selection for same-realization predictions in autoregressive processes
• Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
• Order selection for AR models by predictive least squares
• A Small Sample Model Selection Criterion Based on Kullback's Symmetric Divergence
• On the residual variance and the prediction error for the LSF estimation method and new modified finite sample criteria for autoregressive model order selection
• Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy

Cited In (5)

• Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
• Finite sample criteria for autoregressive model order selection
• New autoregressive (AR) order selection criteria based on the prediction error estimation
• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• Order selection for same-realization predictions in autoregressive processes

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