Adaptive order selection for autoregressive models

DOI10.1080/00949655.2013.776559zbMath1453.62628OpenAlexW2089931151MaRDI QIDQ5219452

Yunhuan Lee, Chun-Shu Chen, Hung-Wei Hsu

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.776559

zbMATH Keywords

model selectionAkaike information criterionBayesian information criteriongeneralized degrees of freedommean squared prediction errortime series data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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