Relations between information criteria for model-structure selection Part 1. The role of bayesian model order estimation

DOI10.1080/00207179008953542zbMath0713.62031OpenAlexW2059468539MaRDI QIDQ3198704

Sandor M. Veres

Publication date: 1990

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179008953542

zbMATH Keywords

exponential stabilitystrong consistencyARMA modelsinformation criteriaprediction error identificationorder estimationARMAX modelsstructure selectionpenalty termsbest model structurecomplexity criterionModel structure estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bayesian inference (62F15) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Twenty-one ML estimators for model selection

Cites Work

• Stochastic complexity and modeling
• Maximum likelihood and prediction error methods
• The estimation of the order of an ARMA process
• Multivariate linear time series models
• Structure identification of parameter-bounding models by use of noise-structure bounds
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Relations between information criteria for model-structure selection Part 1. The role of bayesian model order estimation