A Joint Regression Variable and Autoregressive Order Selection Criterion

DOI10.1111/J.1467-9892.2004.00385.XMaRDI QIDQ4677049zbMATH OpenOpenAlexFDO

Authors Peide Shi, Chin-Ling Tsai

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.00385.x

zbMATH Keywords

autoregressive order selection criterionjoint regression variableresidual likelihood

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• ARMA model identification
• Estimation of a linear regression model with stationary ARMA (p,q) errors
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• scientific article; zbMATH DE number 3714796 (Why is no real title available?)
• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 1082203 (Why is no real title available?)
• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• Model Selection and Multimodel Inference
• Regression Model Selection—A Residual Likelihood Approach
• Time series: theory and methods.

Cited in

(16)

• A residual-information-based criterion for model order selection
• Bridge estimation for linear regression models with mixing properties
• Order selection in ARMA models using the focused information criterion
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• Weighted LAD-LASSO method for robust parameter estimation and variable selection in regression
• Regression Model Selection—A Residual Likelihood Approach
• Selection of regression and autoregression models with initial ordering of variables
• Adaptive Lasso for linear regression models with ARMA-GARCH errors
• Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
• Autoregressive model selection based on a prediction perspective
• SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
• Adaptive order selection for autoregressive models
• Joint detection for functional polynomial regression with autoregressive errors
• Order selection criteria for vector autoregressive models
• Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
• Regression and autoregressive models via sparse Laplacian Shrinkage

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