Order Selection of Autoregressive Models
Date of Original Version
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 . 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
IEEE Transactions on Signal Processing
Djurić, Petar M., and Steven M. Kay. "Order Selection of Autoregressive Models." IEEE Transactions on Signal Processing 40, 11 (1992): 2829-2833. doi:10.1109/78.165674.