A model selection rule for sinusoids in white Gaussian noise

Author:
Publisher website
Google Scholar
Abstract
The model selection problem for sinusoidal signals has often been addressed by employing the Akaike (1974) information criterion (AIC) and the minimum description length principle (MDL). The popularity of these criteria partly stems from the intrinsically simple means by which they can be implemented. They can, however, produce misleading results if they are not carefully used. The AIC and MDL have a common form in that they comprise two terms, a data term and a penalty term. The data term quantifies the residuals of the model, and the penalty term reflects the desideratum of parsimony. While the data terms of the AIC and MDL are identical, the penalty terms are different. In most of the literature, the AIC and MDL penalties are, however, both obtained by apportioning an equal weight to each additional unknown parameter, be it phase, amplitude, or frequency. By contrast, we demonstrate that the penalties associated with the amplitude and phase parameters should be weighted differently than the penalty attached to the frequencies. Following the Bayesian methodology, we derive a model selection criterion for sinusoidal signals in Gaussian noise which also contains the log-likelihood and the penalty terms. The simulation results disclose remarkable improvement in our selection rule over the commonly used MDL and AIC.

This publication has 23 references indexed in Scilit: