Title

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

IEEE Transactions on Signal Processing

Volume

40

Issue

11

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