Empirical information criteria for time series forecasting model selection

DOI10.1080/00949650410001687208zbMath1076.62092OpenAlexW2089843796WikidataQ58297501 ScholiaQ58297501MaRDI QIDQ5711984

Baki Billah, Anne B. Koehler, Rob Hyndman

Publication date: 22 December 2005

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

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2003/wp2-03.pdf

zbMATH Keywords

model selectionforecastingexponential smoothinginformation criteriaM3 competition

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Mutual information model selection algorithm for time series

Cites Work

• Global optimization of statistical functions with simulated annealing
• Estimating the dimension of a model
• Smoothing non-Gaussian time series with autoregressive structure.
• Statistical predictor identification
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

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