Time Series and Model Selection

DOI10.1080/03610910701884153zbMath1161.37349OpenAlexW2145892602MaRDI QIDQ3625301

Aurora E. Clark, C. G. Troskie

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701884153

zbMATH Keywords

model selectioninformation complexityautoregressive moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Cites Work

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• Informational complexity criteria for regression models.
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• Selecting optimal ARMA order by a minimum spectrum distance criterion
• Regression and ICOMP—A Simulation Study