Finite Sample FPE and AIC Criteria for Autoregressive Model Order Selection Using Same-Realization Predictions

被引：5

作者：

Khorshidi, Shapoor ^{[1
]}

Karimi, Mahmood ^{[1
]}

机构：

[1] Shiraz Univ, Dept Elect Engn, Shiraz 7134851151, Iran

来源：

EURASIP JOURNAL ON ADVANCES IN SIGNAL PROCESSING | 2009年

关键词：

All Open Access; Gold;

D O I：

10.1155/2009/475147

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

A new theoretical approximation for expectation of the prediction error is derived using the same-realization predictions. This approximation is derived for the case that the Least-Squares-Forward (LSF) method ( the covariance method) is used for estimating the parameters of the autoregressive (AR) model. This result is used for obtaining modified versions of the AR order selection criteria FPE and AIC in the finite sample case. The performance of thesemodified criteria is compared with other same-realization AR order selection criteria using simulated data. The results of this comparison show that the proposed criteria have better performance. Copyright (C) 2009 S. Khorshidi and M. Karimi.

引用

页数：7

共 19 条

[1] Finite Sample FPE and AIC Criteria for Autoregressive Model Order Selection Using Same-Realization Predictions
Shapoor Khorshidi
Mahmood Karimi
[J]. EURASIP Journal on Advances in Signal Processing, 2009
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Ing, CK
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Kamila, Kare
[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2023, 75 (04) : 567 - 592
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Kare Kamila
[J]. Annals of the Institute of Statistical Mathematics, 2023, 75 : 567 - 592
[5] FINITE SAMPLE AIC FOR AUTOREGRESSIVE MODEL ORDER SELECTION
Karimi, Mahmood
[J]. ICSPC: 2007 IEEE INTERNATIONAL CONFERENCE ON SIGNAL PROCESSING AND COMMUNICATIONS, VOLS 1-3, PROCEEDINGS, 2007, : 1219 - 1222
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Khorshidi, Sh.
Karimi, M.
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Ing, CK
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Karimi, M
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[J]. CANADIAN JOURNAL OF ELECTRICAL AND COMPUTER ENGINEERING-REVUE CANADIENNE DE GENIE ELECTRIQUE ET INFORMATIQUE, 2001, 26 (01): : 9 - 12

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