The akaike information criterion with parameter uncertainty

Abd Krim Seghouane*

*Corresponding author for this work

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    6 Citations (Scopus)

    Abstract

    An instance crucial to most problems in signal processing is the selection of the order of a candidate model. Among the different exciting criteria, the two most popular model selection criteria in the signal processing literature have been the Akaike's criterion AIC and the Bayesian Information criterion BIC, These criteria are similar in form in that they consist of data and penalty terms. Different approaches have been used used to derive these criteria. However, none of them take into account the prior information concerning the parameters of the model. In this paper, an new approach for model selection, that takes into account the prior information on the model parameters, is proposed. Using the proposed approach and depending on the nature of the prior on the model parameters, two new information criteria are proposed for univariate linear regression model selection. We use the term "information criteria" because their derivation is based on the Kullback-Leibler divergence.

    Original languageEnglish
    Title of host publication2006 IEEE Sensor Array and Multichannel Signal Processing Workshop Proceedings, SAM 2006
    PublisherIEEE Computer Society
    Pages430-434
    Number of pages5
    ISBN (Print)1424403081, 9781424403080
    DOIs
    Publication statusPublished - 2006
    Event4th IEEE Sensor Array and Multichannel Signal Processing Workshop Proceedings, SAM 2006 - Waltham, MA, United States
    Duration: 12 Jul 200614 Jul 2006

    Publication series

    Name2006 IEEE Sensor Array and Multichannel Signal Processing Workshop Proceedings, SAM 2006

    Conference

    Conference4th IEEE Sensor Array and Multichannel Signal Processing Workshop Proceedings, SAM 2006
    Country/TerritoryUnited States
    CityWaltham, MA
    Period12/07/0614/07/06

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