False Discovery Rate (FDR) and Familywise Error Rate (FER) Rules for Model Selection in Signal Processing Applications

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False Discovery Rate (FDR) and Familywise Error Rate (FER) Rules for Model Selection in Signal Processing Applications

Petre Stoica; Prabhu Babu

Model selection is an omnipresent problem in signal processing applications. The Akaike information criterion (AIC) and the Bayesian information criterion (BIC) are the most commonly used solutions to this problem. These criteria have been found to have satisfactory performance in many cases and had a dominant role in the model selection literature since their introduction several decades ago, despite numerous attempts to dethrone them. Model selection can be viewed as a multiple hypothesis testing problem. This simple observation makes it possible to use for model selection a number of powerful hypothesis testing procedures that control the false discovery rate (FDR) or the familywise error rate (FER). This is precisely what we do in this paper in which we follow the lead of the proposers of the said procedures and introduce two general rules for model selection based on FDR and FER, respectively. We show in a numerical performance study that the FDR and FER rules are serious competitors of AIC and BIC with significant performance gains in more demanding cases, essentially at the same computational effort.

Model selection is an essential problem in many signal processing applications [1][2][3]. Examples of such applications include selecting the order of an autoregressive predictor, the number of source signals impinging on an array of sensors, the order of a polynomial trend, the number of components of a nuclear magnetic resonance signal, the dimension of a linear regression model, the length and paths of the impulse response of a multi-path communication channel, the number of components of a sinusoidal signal, and the rank of the solution of a matrix approximation problem (the last four applications form the nucleus of the numerical example section, and will be described in detail there).

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