Choosing a Model Selection Strategy

DOI10.1111/1467-9469.00321zbMath1034.62032OpenAlexW2094590783MaRDI QIDQ4455938

Kostas Skouras, Xavier de Luna

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00321

zbMATH Keywords

cross-validationaccumulated prediction errormetaselection

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Parametric inference (62F99) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Toward optimal multistep forecasts in non-stationary autoregressions ⋮ Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma ⋮ Estimating Prediction Error: Cross-Validation vs. Accumulated Prediction Error ⋮ Accumulative prediction error and the selection of time series models

Uses Software

• Ox

Cites Work

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• Modeling by shortest data description
• An Improvement of Akaike's FPE Criterion to Reduce its Variability
• Model Selection and the Principle of Minimum Description Length
• MDL denoising
• The minimum description length principle in coding and modeling
• A new look at the statistical model identification

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