ar::criterion Struct Reference

Criteria for autoregressive model order selection following Broersen. More...

#include <ar.hpp>

Inheritance diagram for ar::criterion:

Static Public Member Functions
template<typename Result , typename Input >
static Result	underfit_penalty (Input sigma2e)
	Compute the underfit penalty given \(\sigma^2_\epsilon\).

Detailed Description

Criteria for autoregressive model order selection following Broersen.

For details see either the FiniteSampleCriteria.tex write up or Broersen, P. M. T. "Finite sample criteria for autoregressive order selection." IEEE Transactions on Signal Processing 48 (December 2000): 3550-3558. http://dx.doi.org/10.1109/78.887047. A parent type for autoregressive model selection criterion.

Each subclass should have an overfit_penalty(N, p) method following Broersen, P. M. and H. E. Wensink. "On Finite Sample Theory for Autoregressive Model Order Selection." IEEE Transactions on Signal Processing 41 (January 1993): 194+. http://dx.doi.org/10.1109/TSP.1993.193138.

Definition at line 1830 of file ar.hpp.

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The documentation for this struct was generated from the following file:

• ar.hpp