DocumentCode :
2342435
Title :
The influence of the penalty factor in order selection criteria
Author :
Broersen, P.M.T. ; Wensink, H.E.
Author_Institution :
Dept. of Appl. Phys., Delft Univ. of Technol., Netherlands
fYear :
1994
fDate :
10-12 May 1994
Firstpage :
1459
Abstract :
The quest in autoregressive model order selection is for the model with smallest prediction error. The possibilities of selecting a suboptimal order can be divided in overfitting and underfitting. In order selection criteria based on asymptotical large sample theory as well as in their finite sample counterparts, the penalty factor α can be considered as the balancing factor between overfit and underfit. An optimization of the value for the penalty factor is only effective, after a correction for the statistics of the finite observation length has been carried out, by using the results of the finite sample theory. A theoretical treatment is in asymptotic theory based on the true AR process order. To apply the reasonings to the practical situations, where only a finite number of observations has been measured, the optimal model order is introduced. It is defined as the order with lowest expected prediction error
Keywords :
autoregressive processes; prediction theory; signal sampling; statistical analysis; asymptotical large sample theory; autoregressive model; correction; finite observation length; finite sample; finite sample theory; lowest expected prediction error; optimal model order; optimization; order selection criteria; overfitting; penalty factor; process order; smallest prediction error; statistics; suboptimal order; underfitting; Autocorrelation; Autoregressive processes; Electronic mail; Least squares methods; Parameter estimation; Physics; Predictive models; Statistics; White noise; Yield estimation;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Instrumentation and Measurement Technology Conference, 1994. IMTC/94. Conference Proceedings. 10th Anniversary. Advanced Technologies in I & M., 1994 IEEE
Conference_Location :
Hamamatsu
Print_ISBN :
0-7803-1880-3
Type :
conf
DOI :
10.1109/IMTC.1994.352172
Filename :
352172
Link To Document :
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