ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION
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Publication:2892460
DOI10.1111/J.1467-842X.2011.00626.XzbMath1274.62616MaRDI QIDQ2892460
Neelabh Rohan, T. V. Ramanathan
Publication date: 18 June 2012
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Related Items (9)
The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models ⋮ ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION ⋮ The focussed information criterion for generalised linear regression models for time series ⋮ A High‐dimensional Focused Information Criterion ⋮ The focused information criterion for logistic time series regression models under locally biased estimating functions ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity ⋮ Adaptive Order Determination for Constructing Time Series Forecasting Models ⋮ Focused information criterion for locally misspecified vector autoregressive models
Cites Work
- On regression model selection for the data with correlated errors
- Estimating the dimension of a model
- ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION
- Focused Information Criterion for Capture–Recapture Models for Closed Populations
- PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
- MINIMIZING AVERAGE RISK IN REGRESSION MODELS
- Regression and time series model selection in small samples
- The Focused Information Criterion
- Introduction to Time Series and Forecasting
- A Joint Regression Variable and Autoregressive Order Selection Criterion
- Conditional Akaike information for mixed-effects models
- CHALLENGES FOR ECONOMETRIC MODEL SELECTION
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