Regression and time series model selection using variants of the schwarz information criterion

DOI10.1080/03610929708831934zbMath1030.62532OpenAlexW2079837390MaRDI QIDQ4346826

Joseph E. Cavanaugh, Andrew A. Neath

Publication date: 12 February 2004

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708831934

zbMATH Keywords

decision theoryBayesian analysisFisher informationinformation theorystate-space modelmultiple linear regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items (13)

Discussion of prior-based Bayesian information criterion (PBIC) by M.J. Bayarria, James O. Berger, Woncheol Jang, Surajit Ray, Luis R. Pericchi, and Ingmar Visser ⋮ Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models ⋮ Model selection rates of information based criteria ⋮ Model-modified BIC as a competitor of BIC variants for model selection in regression and order selection in time series ⋮ Dependence of Bayesian model selection criteria and Fisher information matrix on sample size ⋮ Unnamed Item ⋮ Laplace approximations and Bayesian information criteria in possibly misspecified models ⋮ Model selection for stock prices data ⋮ A Multiple Comparison Procedure Based on a Variant of the Schwarz Information Criterion in a Mixed Model ⋮ Machine learning problems from optimization perspective ⋮ Performance of Variable Selection Methods in Regression Using Variations of the Bayesian Information Criterion ⋮ Model selection with misspecified spatial covariance structure ⋮ A note on model selection using information criteria for general linear models estimated using REML

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• On the choice of a model to fit data from an exponential family
• Modeling by shortest data description
• Estimating the dimension of a model
• Optimal Choice of AR and MA Parts in Autoregressive Moving Average Models
• Regression and time series model selection in small samples
• Bayes Factors
• A new look at the statistical model identification

This page was built for publication: Regression and time series model selection using variants of the schwarz information criterion