Model selection of the AR model using AIC

[takuti]

• [x] create a new script which is similar to replay.py
  • test on time series in a specific time range
  • the script returns optimal k of an AR(k) model for each query given in a config file
• [ ] online (i.e. adaptive) model selection
  • Dynamic Model Selection With its Applications to Novelty Detection
  • Japanese slides

[takuti]

Batch AR model estimation: https://www.computer.org/cms/dl/trans/tk/2006/04/extras/k0482s.pdf