Vector autoregressive model-order selection from finite samples using Kullback's symmetric divergence

IEEE Transactions on Circuits and Systems I: Regular Papers

Volumn 53, Issue 10, 2006, Pages 2327-2335

  Seghouane, Abd Krim ^a,b  

^a CSIRO   (Australia)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Autoregressive (AR) models; KICc; Kullback information criterion (KIC); Kullback Leibler information; Model selection

Indexed keywords

COMPUTER SIMULATION; MATHEMATICAL MODELS; NUMERICAL METHODS; VECTORS;

AUTOREGRESSIVE (AR) MODELS; KULLBACK INFORMATION CRITERION (KIC); KULLBACK-LEIBLER INFORMATION; MODEL SELECTION; SYMMETRIC DIVERGENCE;

INFORMATION THEORY;

EID: 33750409230     PISSN: 10577122     EISSN: None     Source Type: Journal    
DOI: 10.1109/TCSI.2006.883158     Document Type: Article

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