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Akaike's Final Prediction Error (FPE) criterion provides a measure of model quality by simulating the situation where the model is tested on a different data set. After computing several different models, you can compare them using this criterion. According to Akaike's theory, the most accurate model has the smallest FPE.
Note: If you use the same data set for both model estimation and validation, the fit always improves as you increase the model order and, therefore, the flexibility of the model structure. |
Akaike's Final Prediction Error (FPE) is defined by the following equation:
where V is the loss function, d is the number of estimated parameters, and N is the number of values in the estimation data set.
The toolbox assumes that the final prediction error is asymptotic for d<<N and uses the following approximation to compute FPE:
The loss function V is defined by the following equation:
where represents the estimated parameters.
You can compute Akaike's Final Prediction Error (FPE) criterion for linear and nonlinear models.
To compute FPE, use the fpe command, as follows:
FPE = fpe(m1,m2,m3,...,mN)
According to Akaike's theory, the most accurate model has the smallest FPE.
You can also access the FPE value of an estimated model , m, as follows:
If m is a linear model, type m.Report.Fit.FPE
If m is a nonlinear model, type m.EstimationInfo.FPE
Akaike's Information Criterion (AIC) provides a measure of model quality by simulating the situation where the model is tested on a different data set. After computing several different models, you can compare them using this criterion. According to Akaike's theory, the most accurate model has the smallest AIC.
Note: If you use the same data set for both model estimation and validation, the fit always improves as you increase the model order and, therefore, the flexibility of the model structure. |
Akaike's Information Criterion (AIC) is defined by the following equation:
where V is the loss function, d is the number of estimated parameters, and N is the number of values in the estimation data set.
The loss function V is defined by the following equation:
where represents the estimated parameters.
For d<<N:
Use the aic command to compute Akaike's Information Criterion (AIC) for one or more linear or nonlinear models, as follows:
AIC = aic(m1,m2,m3,...,mN)
According to Akaike's theory, the most accurate model has the smallest AIC.