"Order Selection of Autoregressive Models" by Petar M. Djurić and Steven M. Kay
 

Order Selection of Autoregressive Models

Document Type

Article

Date of Original Version

1-1-1992

Abstract

This correspondence addresses the problem of order determination of autoregressive models by Bayesian predictive densities. A criterion is derived employing noninformative prior densities of the model parameters. The form of the obtained criterion coincides with that of Rissanen in [16]. Simulation results are presented which demonstrate the good performance of the criterion, and comparisons with four other popular approaches verify its superiority in many cases. © 1992 IEEE

Publication Title, e.g., Journal

IEEE Transactions on Signal Processing

Volume

40

Issue

11

Plum Print visual indicator of research metrics
PlumX Metrics
  • Citations
    • Citation Indexes: 38
  • Usage
    • Abstract Views: 4
  • Captures
    • Readers: 7
see details

Share

COinS