Title

Inconsistency of the MDL: On the performance of model order selection criteria with increasing signal-to-noise ratio

Document Type

Article

Date of Original Version

5-1-2011

Abstract

In the problem of model order selection, it is well known that the widely used minimum description length (MDL) criterion is consistent as the sample size N → ∞. However, the consistency as the noise variance σ2 → 0 has not been studied. In this paper, we find that the MDL is inconsistent as σ2 → 0. The result shows that the MDL has a tendency to overestimate the model order. We also prove that another criterion, the exponentially embedded family (EEF), is consistent as σ2 → 0. Therefore, in a high signal-to-noise (SNR) scenario, the EEF provides a better criterion to use for model order selection. © 2011 IEEE.

Publication Title

IEEE Transactions on Signal Processing

Volume

59

Issue

5

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