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Parameter estimation and order selection for linear regression problems
KTH, School of Electrical Engineering (EES), Communication Theory.
2006 (English)In: European Signal Processing Conference, 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.
Series
European Signal Processing Conference, ISSN 2219-5491
Keyword [en]
Bayesian parameter estimation, Classical methods, Classical problems, Linear regression models, Linear regression problems, Low computational complexity, Minimum mean-square error, Model-order selection, Non-asymptotic, Optimality criteria, Order selection, Parameter estimate, Prior knowledge, Estimation, Parameter estimation, Signal processing, Linear regression
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:kth:diva-155021Scopus ID: 2-s2.0-84862611415OAI: oai:DiVA.org:kth-155021DiVA: diva2:760443
Conference
14th European Signal Processing Conference, EUSIPCO 2006, 4 September 2006 through 8 September 2006, Florence
Note

QC 20141104

Available from: 2014-11-04 Created: 2014-10-29 Last updated: 2014-11-04Bibliographically approved

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Citation style
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