File Exchange

image thumbnail

Minimum Description Length

version 1.0 (935 Bytes) by

Computes MDL for a model.

13 Downloads

Updated

No License

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.

Comments and Ratings (4)

li zhonghui

very well

wang lixia

Moorthi

Gokul Swamy

Useful addition to the system identification tool box.

MATLAB Release
MATLAB 7.2 (R2006a)

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video