Autoregression order selection
Richard H. Jones · Geophysics · 1976
Abstract In the recent paper by Ulrych and Bishop (1975), Akaike's (1969) final prediction error criterion (FPE) was used to select the order of autoregressions calculated using Burg's (1967) maximum entropy algorithm, and compared to the Yule-Walker estimates for which this criterion was developed (Jones, 1974). For the Burg estimates, the FPE criterion tended to choose too large an order.