uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Parameter Estimation and Order Selection for Linear Regression Problems
Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology. Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology, Automatic control. Systemteknik.
2006 (English)In: 14th European Signal Processing Conference (EUSIPCO), 2006Conference paper, Published paper (Refereed)
Abstract [en]

Parameter estimation and model order selection for linear regression models are two classical problems. In this article we derive the

minimum mean-square error (MMSE) parameter estimate for a linear regression model with unknown order. We call the so-obtained estimator the Bayesian Parameter estimation Method (BPM).

We also derive the model order selection rule which maximizes the probability of selecting the correct model. The rule is denoted BOSS---Bayesian Order Selection Strategy. The estimators have several advantages: They satisfy certain optimality criteria, they are non-asymptotic and they have low computational complexity. We also derive ``empirical Bayesian'' versions of BPM and BOSS, which do not require any prior knowledge nor do they need the choice of any ``user parameters''. We show that our estimators outperform several classical methods, including the AIC and BIC for order selection.

Place, publisher, year, edition, pages
2006.
Identifiers
URN: urn:nbn:se:uu:diva-82081OAI: oai:DiVA.org:uu-82081DiVA: diva2:109996
Available from: 2006-09-15 Created: 2006-09-15

Open Access in DiVA

No full text

Authority records BETA

Selén, Yngve

Search in DiVA

By author/editor
Selén, Yngve
By organisation
Department of Information TechnologyAutomatic control

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 547 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf