Abstract:
In this paper, a new small-sample model selection criterion for vector autoregressive (VAR) models is developed. The proposed criterion is named Kullback information crit...Show MoreMetadata
Abstract:
In this paper, a new small-sample model selection criterion for vector autoregressive (VAR) models is developed. The proposed criterion is named Kullback information criterion (KICvc), where the notation vc stands for vector correction, and it can be considered as an extension of the KIC, for VAR models. KICvc adjusts KIC to be an unbiased estimator for the variant of the Kullback symmetric divergence, assuming that the true model is correctly specified or overfitted. Furthermore, KICvc provides better VAR model-order choices than KIC in small samples. Simulation results show that the proposed criterion selects the model order more accurately than other asymptotically efficient methods when applied to VAR model selection in small samples. As a result, KICvc serves as an effective tool for selecting a VAR model of appropriate order. A theoretical justification of the proposed criterion is presented
Published in: IEEE Transactions on Circuits and Systems I: Regular Papers ( Volume: 53, Issue: 10, October 2006)
Research School of Information Sciences and Engineering, Australian National University, Canberra, ACT, Australia
Abd-Krim Seghouane was born in Azazga, Algeria, in 1973. He received the engineer degree in electronics from Institut d'Electronique de l'Université Mouloud Mammeri, Tizi-ouzou, Algeria, the Magistère degree in signal processing from Ecole Militaire Polytechnique, Bordj El Bahri, Algeria, and the Ph.D degree in Control and Signal Processing from Université de Paris Sud, Orsay, France, in 1996, 2000, and 2002, respectively...Show More
Abd-Krim Seghouane was born in Azazga, Algeria, in 1973. He received the engineer degree in electronics from Institut d'Electronique de l'Université Mouloud Mammeri, Tizi-ouzou, Algeria, the Magistère degree in signal processing from Ecole Militaire Polytechnique, Bordj El Bahri, Algeria, and the Ph.D degree in Control and Signal Processing from Université de Paris Sud, Orsay, France, in 1996, 2000, and 2002, respectively...View more
Contents Research School of Information Sciences and Engineering, Australian National University, Canberra, ACT, Australia
Abd-Krim Seghouane was born in Azazga, Algeria, in 1973. He received the engineer degree in electronics from Institut d'Electronique de l'Université Mouloud Mammeri, Tizi-ouzou, Algeria, the Magistère degree in signal processing from Ecole Militaire Polytechnique, Bordj El Bahri, Algeria, and the Ph.D degree in Control and Signal Processing from Université de Paris Sud, Orsay, France, in 1996, 2000, and 2002, respectively.
From 2003 to 2004, he was a Posdoctoral Researcher at INRIA Rocquencourt, Le Chesnay, France. In 2004, he joined National ICT Australia (NICTA), where he is currently a Senior Researcher within the Systems Engineering and Complex Systems Research Program, Canberra Research Laboratory, Canberra, Australia. His research interests are statistical signal and image processing.
Abd-Krim Seghouane was born in Azazga, Algeria, in 1973. He received the engineer degree in electronics from Institut d'Electronique de l'Université Mouloud Mammeri, Tizi-ouzou, Algeria, the Magistère degree in signal processing from Ecole Militaire Polytechnique, Bordj El Bahri, Algeria, and the Ph.D degree in Control and Signal Processing from Université de Paris Sud, Orsay, France, in 1996, 2000, and 2002, respectively.
From 2003 to 2004, he was a Posdoctoral Researcher at INRIA Rocquencourt, Le Chesnay, France. In 2004, he joined National ICT Australia (NICTA), where he is currently a Senior Researcher within the Systems Engineering and Complex Systems Research Program, Canberra Research Laboratory, Canberra, Australia. His research interests are statistical signal and image processing.View more
