AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models. (Q1861397): Difference between revisions

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English	AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.	scientific article

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scholarly article

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title

AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models. (English)

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Journal of Multivariate Analysis

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publication date

16 March 2003

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zbMATH Keywords

model selection

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misspecified models

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principle of parsimony

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least squares matrices

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uniform

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Lipschitz condition

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elliptical distributions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1006/jmva.2001.2063

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cites work

Q4769776

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Q4040352

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A derivation of the information criteria for selecting autoregressive models

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Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order

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Asymptotic properties of spectral estimates of second order

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ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS

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Counterexamples to parsimony and BIC

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Q4246619

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A conversation with Hirotugu Akaike

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Q4840383

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Subsampling and model selection in time series analysis

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Corrigenda: Properties of Predictors for Autoregressive Time Series

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The asymptotic distribution of serial covariances

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A central limit theorem for stationary processes and the parameter estimation of linear processes

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Breakthroughs in statistics. Volume I: Foundations and basic theory

0 references

On Information and Sufficiency

0 references

PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS

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Convergence analysis of parametric identification methods

0 references

Q3219581

0 references

Statistical identification for optimal control of supercritical thermal power plants

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Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC

0 references

A new ship's auto pilot design through a stochastic model

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On a distributional bound arising in autoregressive model fitting

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Selected papers of Hirotugu Akaike

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Q3323077

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Q3996430

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Q3747471

0 references

Asymptotically efficient selection of the order of the model for estimating parameters of a linear process

0 references

Entropy maximization principle and selection of the order of an autoregressive Gaussian process

0 references

Sequential shrinkage estimation in the general linear model

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Discussion, Emphasizing the Connection between Analysis of Variance and Spectrum Analysis

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Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

0 references

Asymptotic Inference about Predictive Ability

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Identifiers

zbMATH Open document ID

1180.62120

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DOI

10.1006/jmva.2001.2063

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1861397

@@ Property / cites work @@
+Q4769776
@@ Property / cites work: Q4769776 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040352
@@ Property / cites work: Q4040352 / rank @@
+Normal rank
@@ Property / cites work @@
+A derivation of the information criteria for selecting autoregressive models
+Normal rank
@@ Property / cites work @@
+Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of spectral estimates of second order
+Normal rank
@@ Property / cites work @@
+ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Counterexamples to parsimony and BIC
@@ Property / cites work: Counterexamples to parsimony and BIC / rank @@
+Normal rank
@@ Property / cites work @@
+Q4246619
@@ Property / cites work: Q4246619 / rank @@
+Normal rank
@@ Property / cites work @@
+A conversation with Hirotugu Akaike
@@ Property / cites work: A conversation with Hirotugu Akaike / rank @@
+Normal rank
@@ Property / cites work @@
+Q4840383
@@ Property / cites work: Q4840383 / rank @@
+Normal rank
@@ Property / cites work @@
+Subsampling and model selection in time series analysis
+Normal rank
@@ Property / cites work @@
+Corrigenda: Properties of Predictors for Autoregressive Time Series
+Normal rank
@@ Property / cites work @@
+The asymptotic distribution of serial covariances
@@ Property / cites work: The asymptotic distribution of serial covariances / rank @@
+Normal rank
@@ Property / cites work @@
+A central limit theorem for stationary processes and the parameter estimation of linear processes
+Normal rank
@@ Property / cites work @@
+Breakthroughs in statistics. Volume I: Foundations and basic theory
+Normal rank
@@ Property / cites work @@
+On Information and Sufficiency
@@ Property / cites work: On Information and Sufficiency / rank @@
+Normal rank
@@ Property / cites work @@
+PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
+Normal rank
@@ Property / cites work @@
+Convergence analysis of parametric identification methods
+Normal rank
@@ Property / cites work @@
+Q3219581
@@ Property / cites work: Q3219581 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical identification for optimal control of supercritical thermal power plants
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimates of incorrect Markov models for time series and the derivation of AIC
+Normal rank
@@ Property / cites work @@
+A new ship's auto pilot design through a stochastic model
+Normal rank
@@ Property / cites work @@
+On a distributional bound arising in autoregressive model fitting
+Normal rank
@@ Property / cites work @@
+Selected papers of Hirotugu Akaike
@@ Property / cites work: Selected papers of Hirotugu Akaike / rank @@
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996430
@@ Property / cites work: Q3996430 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3747471
@@ Property / cites work: Q3747471 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
+Normal rank
@@ Property / cites work @@
+Entropy maximization principle and selection of the order of an autoregressive Gaussian process
+Normal rank
@@ Property / cites work @@
+Sequential shrinkage estimation in the general linear model
+Normal rank
@@ Property / cites work @@
+Discussion, Emphasizing the Connection between Analysis of Variance and Spectrum Analysis
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
+Normal rank
@@ Property / cites work @@
+Asymptotic Inference about Predictive Ability
@@ Property / cites work: Asymptotic Inference about Predictive Ability / rank @@
+Normal rank