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Minimum Description Length

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05 Jun 2007 (Updated )

Computes MDL for a model.

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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)
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Comments and Ratings (4)
17 Apr 2013 li zhonghui

very well

15 Mar 2013 wang lixia  
23 Jul 2012 Moorthi  
30 Nov 2007 Gokul Swamy

Useful addition to the system identification tool box.

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