Nonlinear predictive model selection and model averaging using information criteria

Abstract

This paper is concerned with the model selection and model averaging problems in system identification and data-driven modelling for nonlinear systems. Given a set of data, the objective of model selection is to evaluate a series of candidate models and determine which one best presents the data. Three commonly used criteria, namely, Akaike information criterion, Bayesian information criterion and an adjustable prediction error sum of squares (APRESS) are investigated and their performance in model selection and model averaging is evaluated via a number of case studies using both simulation and real data. The results show that APRESS produces better models in terms of generalization performance and model complexity.

Keywords

• Model selection
• model averaging
• data-driven modelling
• system identification
• information criterion