The weighted average information criterion for order selection in time series and regression models

DOI10.1016/S0167-7152(98)00003-0zbMath0986.62071MaRDI QIDQ1265993

Alfred Sepulveda, Tiee-Jian Wu

Publication date: 10 June 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic efficiencyAICBICorder selectionSICAICC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Variable selection in linear regression analysis with alternative Bayesian information criteria using differential evaluation algorithm ⋮ Information criteria for nonlinear time series models ⋮ On the performance of information criteria for model identification of count time series ⋮ M-estimator-based robust estimation of the number of components of a superimposed sinusoidal signal model ⋮ Identifying the number of components in Gaussian mixture models using numerical algebraic geometry

Uses Software

• ITSM

Cites Work

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• Regression and time series model selection in small samples
• A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES
• Some Comments on C P
• A new look at the statistical model identification

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