Minimum Description Length

Computes MDL for a model.

Description

Returns Rissanen's Minimum Description Length.
Requires System Identification toolbox.
Call it like built-in functions aic(m) and fpe(m).
Use MDL like AIC or FPE to compare models of different complexities. Choose model with lowest MDL or AIC or FPE. Pintelon & Schoukens (2001) pp. 329,550 say MDL is better than AIC; AIC tends to select a too-complex model.
Example: Compute & print MDL and AIC for an AR model of order 10.
  Data=iddata(y,[],1/Fs);
  m_fb=ar(Data,10,'fb');
  fprintf('MDL=%.3d; AIC=%.3f\n',mdl(m_fb),aic(m_fb));
William C Rose 2007-06-05.

• Required Products: System Identification Toolbox
• MATLAB release: MATLAB 7.2 (R2006a)

[Gokul Swamy]

Useful addition to the system identification tool box.