Generalized information criterion

DOI10.1111/J.1467-9892.2011.00759.XMaRDI QIDQ2930889zbMATH OpenOpenAlexFDO

Authors Masanobu Taniguchi, Junichi Hirukawa

Publication date 20 November 2014

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00759.x

zbMATH Keywords

AICasymptotic theoryinformation criterionmodel selectionspectral distribution

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Parametric inference (62F99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

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Cites work

• \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
• A Bayesian analysis of the minimum AIC procedure
• A Combinatorial Lemma and Its Application to Probability Theory
• A new look at the statistical model identification
• A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
• Analysis and Inference for Incompletely Specified Models Involving the Use of Preliminary Test(s) of Significance
• Asymptotic theory of statistical inference for time series
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Estimating the dimension of a model
• Higher order asymptotic theory for time series analysis
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• Selection of the order of an autoregressive model by Akaike's information criterion
• Statistical analysis for multiplicatively modulated nonlinear autoregressive model and its applications to electrophysiological signal analysis in humans
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• Time series: theory and methods.

Cited in

(11)

• Further asymptotic properties of the generalized information criterion
• Generalized predictive information criteria for the analysis of feature events
• A new regression model for positive random variables with skewed and long tail
• Generalized information criteria for Bayes decisions
• Consistency of a Class of Information Criteria for Model Selection in Nonlinear Regression
• Generalization of the order-restricted information criterion for multivariate normal linear models
• scientific article; zbMATH DE number 1834031 (Why is no real title available?)
• Generalized information criterion for the AR model
• scientific article; zbMATH DE number 5270695 (Why is no real title available?)
• Model selection principles in misspecified models
• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates

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