Counterexamples to parsimony and BIC

DOI10.1007/BF00053369zbMath0850.62648WikidataQ57310179 ScholiaQ57310179MaRDI QIDQ1206610

David F. Findley

Publication date: 1 April 1993

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items (11)

AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories ⋮ On the selection of forecasting models ⋮ Training samples in objective Bayesian model selection. ⋮ The Effective Sample Size ⋮ Statistical inference for dependent stress-strength reliability of multi-state system using generalized survival signature ⋮ On model selection from a finite family of possibly misspecified time series models ⋮ Selection between models through multi-step-ahead forecasting ⋮ A conversation with David Findley ⋮ Increasing the replicability for linear models via adaptive significance levels ⋮ Inference for stress-strength reliability of multi-state system with dependent stresses and strengths using improved generalized survival signature ⋮ AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

Cites Work

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• Inconsistency of the AIC rule for estimating the order of autoregressive models
• An optimal selection of regression variables
• Selection of the order of an autoregressive model by Akaike's information criterion

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