SELECTION OF AR MODEL ORDER

Presented by: Naveen Kumar M.E. ECE Roll No. : 112610

Introduction
y In the model-based approach, the spectrum estimation

procedure consists of two steps. (i) We estimate the parameters{ak}and{bk} of the model. (ii) From these estimates, we compute the power estimate.
y There are three types of models :y AR Model y MA Model y ARMA Model

spectrum

What is AR Model?
y A model which depends only on the previous outputs of the

system is called an autoregressive model (AR).

y Note that: AR model is based on frequency-domain analysis.  AR model has only poles while the MA model has only zeros.

AR Model Equation
The AR-model of a random process in discrete time is defined by the following expression:

y where a1,a2 ..,ap coefficients of the recursive filter; y p is the order of the model; y

(t) are output uncorrelated errors or simply White noise.

Need for selection of model order

y An order selection criterion is used to determine the appropriate

order for the AR model.

y The model parameters are found by solving a set of linear

equation obtained by minimizing the mean squared error.

y The characteristic of this error is that it decreases as the order of

the AR model is increased.

Need
y One of the most important consideration is the choice of the

number of terms in the AR model, this is known as its order p.

y If a model with too low an order, We obtain a highly smoothed

spectrum.
y If a model with too high an order, There is risk of introducing

spurious low-level peaks in the spectrum.

AR Model Order Selection

y Two of the better known criteria for selection the model order

have been proposed by Akaike (1969,1974.)

1)

Known as Finite Prediction Error (FPE) criterion.

= estimated variance of the linear prediction error. N = number of samples. p = is the order of model.

2) The second criterion proposed by Akaike (1974),called the

Akaike Information Criterion (AIC)

decreases & therefore the AR model is increased.

also decreases as the order of

increases with increases in p.

Difference between FPE & AIC

(i) FPE (p)
y y

Is recommended for longer data records. It never exceeds model order selected by AIC

(ii) AIC (p)

y

Is recommended for short data records.

3) An alternative information criterion, proposed by Rissanen

(1983),is based on selecting the order that minimizes the description length :-

4) A fourth criterion has been proposed by Parzen(1974). y This is called the Criterion Autoregressive Transfer (CAT)

function & defined as

y The order p is selected to minimize CAT(p)

Applications
y Texture modelling of visual content. y Speech processing. y Models for future sample predictions

Drawback
y AR models linearly relate the signal samples which is not valid

for many real-life applications, where there may be many nonlinearity.

Conclusion
y The experimental results, just indicate that the model-order

selection criteria do not yields definitive results.

y The FPE(p) criterion tends to underestimate the model order. y The AIC criterion is statistically inconsistent as N

y The MDL information criterion is statistically consistent.

References
y Proakis John G. , Digital Signal Processing 4rd edition y Comparison of Criteria for Estimating the Order of

Autoregressive Process: www.eurojournals.com/ejsr.htm

y http://www.hindawi.com/journals/asp/2009/475147/