A NEW INFORMATION THEORETIC APPROACH TO ORDER ESTIMATION PROBLEM

摘要

We introduce a new method of model order selection: minimum description complexity (MDC). The approach is motivated by the Kullback-Leibler information distance. The method suggests to choose the model set for which the "model set relative entropy" is minimum. The proposed method is comparable with the existing order estimation methods such as AIC and MDL. We elaborate on the advantages of MDC over the available information theoretic approaches.