Residual Ratio Thresholding for Linear Model Order Selection

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Residual Ratio Thresholding for Linear Model Order Selection

Model order selection (MOS) in linear regression models is a widely studied problem in signal processing. Penalized log likelihood techniques based on information theoretic criteria (ITC) are algorithms of choice in MOS problems. Recently, a number of model selection problems have been successfully solved with explicit finite sample guarantees using a concept called residual ratio thresholding (RRT). This paper proposes to use RRT for MOS in linear regression models and provide rigorous mathematical analysis of RRT. RRT is numerically shown to deliver a highly competitive performance when compared to popular MOS criteria, such as Akaike information criterion, Bayesian information criterion, and penalized adaptive likelihood, especially when the sample size is small. We also analytically establish an interesting interpretation for RRT based on ITC thereby linking these two model selection principles.

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