Modified AIC and FPE criteria for autoregressive (AR) model order selection by using LSFB estimation method

机译：通过使用LSFB估计方法修改自动增加（AR）模型订单选择的AIC和FPE标准

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The Least-Squares-Forward-Backward (LSFB) method for estimating the parameters of the autoregressive (AR) model is considered and new theoretical approximations for expectations of the prediction error and the residual variance are derived. These results are used for modifying the AR order selection criteria FPE and AIC. The performance of these modified criteria is compared with other AR order selection criteria using simulated data. The results of these performance comparisons show that the new criteria have better performance in the finite sample case.

机译：考虑用于估计自回归（AR）模型的参数的最小二乘前后向后（LSFB）方法，并导出了预测误差和残差方差的期望的新的理论近似。这些结果用于修改AR订单选择标准FPE和AIC。将这些修改标准的性能与使用模拟数据的其他AR订单选择标准进行比较。这些性能比较的结果表明，新标准在有限的样本情况下具有更好的性能。

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《International Conference on Advances in Computational Tools for Engineering Applications》|2009年||共6页
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中图分类 TP301.6-53;
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autoregressive processes; least squares approximations; parameter estimation; autoregressive model order selection; least squares forward-backward estimation;

机译：自回归流程;最小二乘近似;参数估计;自回归模型订单选择;最小二乘前后估计;

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1. Finite Sample FPE and AIC Criteria for Autoregressive Model Order Selection Using Same-Realization Predictions [J] . Shapoor Khorshidi, Mahmood Karimi EURASIP journal on advances in signal processing . 2010,第1期

机译：使用相同实现预测的自回归模型订单选择的有限样本FPE和AIC准则
2. Finite Sample FPE and AIC Criteria for Autoregressive Model Order Selection Using Same-Realization Predictions [J] . Shapoor Khorshidi, Mahmood Karimi EURASIP journal on advances in signal processing . 2009,第16期

机译：使用相同实现预测的自回归模型订单选择的有限样本FPE和AIC准则
3. On the Residual Variance and the Prediction Error for the LSF Estimation Method and New Modified Finite Sample Criteria for Autoregressive Model Order Selection [J] . Mahmood Karimi IEEE Transactions on Signal Processing . 2005,第7期

机译：LSF估计方法的残差和预测误差以及自回归模型阶数选择的新修正有限样本准则
4. Modified AIC and FPE criteria for autoregressive (AR) model order selection by using LSFB estimation method [C] . International Conference on Advances in Computational Tools for Engineering Applications . 2009

机译：通过使用LSFB估计方法修改自动增加（AR）模型订单选择的AIC和FPE标准
5. Estimation of the Parameters in a Spatial Regressive-Autoregressive Model Using Ord's Eigenvalue Method [D] . Tonmoy, Sajib Mahmud. 2018

机译：ord的特征值方法估计空间回归 - 自回归模型中的参数
6. Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances [O] . Harry H. Kelejian, Ingmar R. Prucha -1

机译：自回归和异质障碍障碍的空间自回归模型规范与估算
7. Finite Sample FPE and AIC Criteria for Autoregressive Model Order Selection Using Same-Realization Predictions [O] . Shapoor Khorshidi, Mahmood Karimi 2010

机译：使用相同实现预测的自回归模型订单选择的有限样本FPE和AIC准则
8. AR (Autoregressive) Modeling of Coherence in Time Delay and Doppler Estimation [R] . Lee, J. 1988

机译：时间相干性和多普勒估计的aR（自回归）模型

Modified AIC and FPE criteria for autoregressive (AR) model order selection by using LSFB estimation method

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