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
Citation/Publisher Attribution
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.
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