Model identification using the efficient determination criterion

DOI10.1016/J.JMVA.2016.06.002MaRDI QIDQ739604zbMATH OpenOpenAlexWikidataFDO

Authors Paulo Angelo Alves Resende, Chang C. Y. Dorea

Publication date 18 August 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.7441

zbMATH Keywords

BICAICorder estimationBEKK-GARCHEDC

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: In the realm of the model selection context, Akaike's and Schwarz's information criteria, AIC and BIC, have been applied successfully for decades for model order identification. The Efficient Determination Criterion (EDC) is a generalization of these criteria, proposed originally to define a strongly consistent class of estimators for the dependency order of a multiple Markov chain. In this work, the EDC is generalized to partially nested models, which encompass many other order identification problems. Based on some assumptions, a class of strongly consistent estimators is established in this general environment. This framework is applied to BEKK multivariate GARCH models and, in particular, the strong consistency of the order estimator based on BIC is established for these models.

Recommendations

• AIC, BIC and EDC criteria for higher order Markov chain with denumerable state space
• Convergence rates for Markov chain order estimates using EDC criterion
• Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• Strong consistency of the information criterion for model selection in multivariate analysis

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Cited in

(6)

• Robust mixture regression modeling based on two-piece scale mixtures of normal distributions
• Identifying a model from data using Beltrami's matrix decomposition
• A note on the initial identification of scalar component models
• Strongly consistent model selection for general causal time series
• A method for model identification and parameter estimation
• scientific article; zbMATH DE number 6441640 (Why is no real title available?)

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