Abstract
Three automatic model selection procedures are compared: The first one is the pem subroutine implemented in the MATLAB toolbox system identification. The second procedure is based on the CCA subspace procedure. The third procedure finally is the ARMAsel procedure. The three procedures have heen studied using a simulation experiment. The accuracy of the subspace algorithms depends heavily on the choice of the integers f and p. Simple strategies for choosing f and p can yield very inaccurate models. For one simulation example, it is shown that a more complex strategy can yield a more accurate result. The ARMAsel algorithm provided an accurate model for all processes that have been considered.
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