Selecting nonlinear stochastic process rate models using information criteria

DOI10.1016/j.physd.2005.11.007zbMath1094.60054OpenAlexW2088154659MaRDI QIDQ2492254

David M. Walker, Glenn Marion

Publication date: 9 June 2006

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2005.11.007

zbMATH Keywords

nonlinear modelmodel selectionstochastic process modelminimum description length information criteria

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Continuous-time Markov processes on general state spaces (60J25) Statistical aspects of information-theoretic topics (62B10)

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