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Empirical bayes linear regression with unknown model order
KTH, School of Electrical Engineering (EES), Communication Theory.
2007 (English)In: 2007 IEEE International Conference on Acoustics, Speech, and Signal Processing, Vol III, Pts 1-3, Proceedings, IEEE , 2007, 773-776 p.Conference paper, Published paper (Refereed)
Abstract [en]

We study the maximum a posteriori probability model order selection algorithm for linear regression models, assuming Gaussian distributed noise and coefficient vectors. For the same data model, we also derive the minimum mean-square error coefficient vector estimate. The approaches are denoted BOSS (Bayesian Order Selection Strategy) and BPM (Bayesian Parameter estimation Method), respectively. Both BOSS and BPM require a priori knowledge on the distribution of the coefficients. However, under the assumption that the coefficient variance profile is smooth, we derive "empirical Bayesian" versions of our algorithms, which require little or no information from the user. We show in numerical examples that the estimators can outperform several classical methods, including the well-known AIC and BIC for order selection.

Place, publisher, year, edition, pages
IEEE , 2007. 773-776 p.
Series
ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, ISSN 1520-6149 ; 3
Keyword [en]
Bayes procedures, Least mean square methods, Linear systems, Modeling, Parameter estimation
National Category
Telecommunications Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-155598DOI: 10.1109/ICASSP.2007.366794ISI: 000248906600194Scopus ID: 2-s2.0-34547494566ISBN: 1424407281 (print)ISBN: 978-142440728-6 OAI: oai:DiVA.org:kth-155598DiVA: diva2:765088
Conference
2007 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP '07, 15 April 2007 through 20 April 2007, Honolulu, HI, United States
Note

QC 20141121

Available from: 2014-11-21 Created: 2014-11-07 Last updated: 2014-11-21Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • 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
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