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Minimum Description Length

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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=%.3fn',mdl(m_fb),aic(m_fb));
William C Rose 2007-06-05.

Free download from Shareware Connection - Returns Rissanen's Minimum Description Length.

Publisher: William Rose | License: Freeware | Price: 0.00
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 27-06-2013 | Rating: 0 | Title: Minimum Description Length

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/15210/1/mdl.m

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