Forecasting ARMA models: a comparative study of information criteria focusing on MDIC

DOI10.1080/00949650802464137zbMath1185.62166OpenAlexW2164316620MaRDI QIDQ5306304

Panagiotis Mantalos, Alex Karagrigoriou, Kyriacos Mattheou

Publication date: 8 April 2010

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

Full work available at URL: https://doi.org/10.1080/00949650802464137

zbMATH Keywords

tablesmodel selectionARMA processinformation criterionmodified divergence information criterion (MDIC)NMSFE

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Statistical inference for multinomial populations based on a double index family of test statistics ⋮ Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC ⋮ On properties of the \((\Phi , a)\)-power divergence family with applications in goodness of fit tests ⋮ A discrete probabilistic model for analyzing pairwise comparison matrices

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