A criterion for adaptive autoregressive models

@inproceedings{Schlgl2000ACF,
  title={A criterion for adaptive autoregressive models},
  author={Alois Schl{\"o}gl and Stephen J. Roberts and Gert Pfurtscheller},
  year={2000}
}
A criterion, similar to the information criterion of a stationary AR model, is introduced for an adaptive (non-stationary) autoregressive model. It is applied to nonstationary EEG data. It is shown that the criterion can be used to determine the update coefficient, the model order, and the estimation algorithm. 
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