Accumulative prediction error and the selection of time series models

DOI10.1016/j.jmp.2006.01.004zbMath1099.62103OpenAlexW2142743431MaRDI QIDQ2507906

Mark Steyvers, Eric‐Jan Wagenmakers, Peter D. Grünwald

Publication date: 5 October 2006

Published in: Journal of Mathematical Psychology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmp.2006.01.004

zbMATH Keywords

prediction errormodel selectionlong-range dependencetime series analysispredictive MDLprequential methods

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05)

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Uses Software

• Ox
• BayesDA
• longmemo

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