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Order Selection of Autoregressive Processes Using Bridge Criterion

Publication ,  Conference
Ding, J; Noshad, M; Tarokh, V
Published in: Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015
January 29, 2016

A new criterion is introduced for determining the order of an autoregressive model fit to time series data. The proposed technique is shown to give a consistent and asymptotically efficient order estimation. It has the benefits of the two well-known model selection techniques, the Akaike information criterion and the Bayesian information criterion. When the true order of the autoregression is relatively large compared with the sample size, the Akaike information criterion is known to be efficient, and the new criterion behaves in a similar manner. When the true order is finite and small compared with the sample size, the Bayesian information criterion is known to be consistent, and so is the new criterion. Thus the new criterion builds a bridge between the two classical criteria automatically. In practice, where the observed time series is given without any prior information about the autoregression, the proposed order selection criterion is more flexible and robust compared with classical approaches. Numerical results are presented demonstrating the robustness of the proposed technique when applied to various datasets.

Duke Scholars

Published In

Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015

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Publication Date

January 29, 2016

Start / End Page

615 / 622
 

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Ding, J., Noshad, M., & Tarokh, V. (2016). Order Selection of Autoregressive Processes Using Bridge Criterion. In Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015 (pp. 615–622). https://doi.org/10.1109/ICDMW.2015.216
Ding, J., M. Noshad, and V. Tarokh. “Order Selection of Autoregressive Processes Using Bridge Criterion.” In Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015, 615–22, 2016. https://doi.org/10.1109/ICDMW.2015.216.
Ding J, Noshad M, Tarokh V. Order Selection of Autoregressive Processes Using Bridge Criterion. In: Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015. 2016. p. 615–22.
Ding, J., et al. “Order Selection of Autoregressive Processes Using Bridge Criterion.” Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015, 2016, pp. 615–22. Scopus, doi:10.1109/ICDMW.2015.216.
Ding J, Noshad M, Tarokh V. Order Selection of Autoregressive Processes Using Bridge Criterion. Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015. 2016. p. 615–622.

Published In

Proceedings - 15th IEEE International Conference on Data Mining Workshop, ICDMW 2015

DOI

Publication Date

January 29, 2016

Start / End Page

615 / 622