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Code Listing by William Rose

Code 1-2 of 2   






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...



This function returns coefficients of Gaussian lowpass filter.
Advantages of Gaussian filter: no ringing or overshoot in time domain.
Diasadvantage: slow rolloff in frequency domain.
Pass SR=sampling rate, fco=cutoff freq, both in...