The AIC criterion has become a standard tool in time series model fitting, and its computation is available in many time series programs. To illustrate how AIC works for the AR model, we consider a noisy signal
where .In this example the noise is slightly stronger than the sine wave (Figure 6).Figure 7. (Top) Fourier power spectra for the sine wave, random noise, and the combined signal from Figure 6. (Bottom) AR spectra. AR orders are determined by minimizing AIC. |