Minimum Description Length

Version 1.0.0.0 (635 Bytes) von William Rose
Computes MDL for a model.
3.3
(4)
3,9K Downloads
Aktualisiert 5. Jun 2007

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Returns Rissanen's Minimum Description Length.
Requires System Identification toolbox.
Call it like built-in functions aic(m) and fpe(m).
Use MDL like AIC or FPE to compare models of different complexities. Choose model with lowest MDL or AIC or FPE. Pintelon & Schoukens (2001) pp. 329,550 say MDL is better than AIC; AIC tends to select a too-complex model.
Example: Compute & print MDL and AIC for an AR model of order 10.
Data=iddata(y,[],1/Fs);
m_fb=ar(Data,10,'fb');
fprintf('MDL=%.3d; AIC=%.3f\n',mdl(m_fb),aic(m_fb));
William C Rose 2007-06-05.

Zitieren als

William Rose (2024). Minimum Description Length (https://www.mathworks.com/matlabcentral/fileexchange/15210-minimum-description-length), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2006a
Kompatibel mit allen Versionen
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Version Veröffentlicht Versionshinweise
1.0.0.0