STUDY OF AR MODEL ORDER SELECTION APPLYING CRITERION OF PREDICTIVE LEAST SQUARES

A criterion called Sliding Window Predictive Least-Squares (SWPLS) order selection criterion is presented in this paper by comparison of several typical criteria of AR model order selection. In addition to property of fine order selection the criterion has advantage of good tracking property and can be easily implemented on-line in real time. The effectiveness of SWPLS criterion is verified by simulation experiment of order selection for models of time-varying parameter and time-varying order.