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Akaike's Information Criterion For Estimated Model - MATLAB Aic
Akaike's Information Criterion For Estimated Model - MATLAB Aic
aic
Akaike’s Information Criterion for estimated model
Syntax
value = aic(model)
value = aic(model1,...,modeln)
value = aic( ___ ,measure)
Description
value = aic(model) returns the normalized Akaike's Information Criterion (AIC) value for the estimated example
model.
value = aic(model1,...,modeln) returns the normalized AIC values for multiple estimated models.
example
value = aic( ___ ,measure) specifies the type of AIC.
value = aic(sys)
value = 0.5453
The value is also computed during model estimation. Alternatively, use the Report property of the model to access
this value.
sys.Report.Fit.nAIC
ans = 0.5453
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Akaike’s Information Criterion for estimated model - MATLAB aic
Compute the normalized Akaike's Information Criterion (AIC) value. This syntax is equivalent to aic_raw =
aic(sys).
aic_raw = aic(sys,'nAIC')
aic_raw = 0.5453
Compute the raw AIC value.
aic_raw = aic(sys,'aic')
aic_raw = 1.0150e+03
Compute the sample-size corrected AIC value.
aic_c = aic(sys,'AICc')
aic_c = 1.0153e+03
Compute the Bayesian Information Criteria (BIC) value.
bic = aic(sys,'BIC')
bic = 1.0372e+03
These values are also computed during model estimation. Alternatively, use the Report.Fit property of the model
to access these values.
sys.Report.Fit
Pick Model with Optimal Tradeoff Between Accuracy and Complexity Using AICc Criterion
load iddata2
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Akaike’s Information Criterion for estimated model - MATLAB aic
nf = 1:4;
nb = 1:4;
nk = 0:4;
NN = struc(nf,nb,nk);
models = cell(size(NN,1),1);
for ct = 1:size(NN,1)
models{ct} = oe(z2, NN(ct,:));
end
Compute the small sample-size corrected AIC values for the models, and return the smallest value.
V = aic(models{:},'AICc');
[Vmin,I] = min(V);
Return the optimal model that has the smallest AICc value.
models{I}
ans =
Discrete-time OE model: y(t) = [B(z)/F(z)]u(t) + e(t)
B(z) = 1.067 z^-2
Parameterization:
Polynomial orders: nb=1 nf=3 nk=2
Number of free coefficients: 4
Use "polydata", "getpvec", "getcov" for parameters and their uncertainties.
Status:
Estimated using OE on time domain data "z2".
Fit to estimation data: 86.53%
FPE: 0.9809, MSE: 0.9615
• idtf
• idgrey
• idpoly
• idproc
• idss
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Akaike’s Information Criterion for estimated model - MATLAB aic
• idnlarx, except nonlinear ARX model that includes a binary-tree or neural network nonlinearity estimator
• idnlhw
• idnlgrey
Value of the quality measure, returned as a scalar or vector. For multiple models, value is a row vector where
value(k) corresponds to the kth estimated model modelk.
where:
˗ is the number of values in the estimation data set
˗ ( ) is a -by-1 vector of prediction errors
˗ represents the estimated parameters
˗ is the number of estimated parameters
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Akaike’s Information Criterion for estimated model - MATLAB aic
Tips
• The software computes and stores all types of Akaike's Information Criterion metrics during model estimation. If you
want to access these values, see the Report.Fit property of the model.
References
[1] Ljung, L. System Identification: Theory for the User, Upper Saddle River, NJ, Prentice-Hall PTR, 1999. See sections
about the statistical framework for parameter estimation and maximum likelihood method and comparing model
structures.
See Also
fpe | goodnessOfFit
Topics
Loss Function and Model Quality Metrics