Finite sample criteria for autoregressive model order selection

	Finite sample criteria for autoregressive model order selection
Iranian Journal of Science and Technology Transactions of Electrical Engineering
شناسنامه علمی شماره، دوره 31، شماره 3، فروردین 2007، صفحه 329-344 اصل مقاله (262.9 K)
شناسه دیجیتال (DOI): 10.22099/ijste.2007.849
چکیده
The existing theoretically derived order selection criteria for autoregressive (AR) processes have poor performance in the finite sample case. In this paper, the least-squares-forward (LSF) is considered as the AR parameter estimation method, and new theoretical approximations are derived for the expectations of residual variance and prediction error. These approximations are especially useful in the finite sample case and are derived for AR processes with arbitrary statistical distributions. New order selection criteria for AR processes are derived using these approximations. In a simulation study, the performance of the proposed criteria relative to other criteria is examined in the finite sample case. Simulation results show that the performance of the proposed criteria is much better than the other theoretically derived criteria.
کلیدواژه‌ها
autoregressive process؛ AR model؛ order selection؛ information criterion؛ residual variance؛ prediction error

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