On predictive least squares principles
From MaRDI portal
Publication:1192957
DOI10.1214/aos/1176348511zbMath0801.62083MaRDI QIDQ1192957
Publication date: 27 September 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348511
Fisher information; simulation study; penalty term; BIC; predictive least squares; FIC; stochastic regression models; residual sum of squares; fixed design model; unstable autoregressive process; decomposibility; information-based criterion; regression model selection; strong consistency of PSL
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
Related Items
Model selection for infinite variance time series, Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models, STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS, Asymptotically efficient order selection in nonstationary AR processes, Diagnostic test for unstable autoregressive models, Using simulated annealing to optimize the feature selection problem in marketing applications, Strong consistency of the regularized least-squares estimates of infinite autoregressive models, Counterexamples to parsimony and BIC, Model selection and prediction: Normal regression, The weighted average information criterion for order selection in time series and regression models, Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, On model selection via stochastic complexity in robust linear regression, Maximized log-likelihood updating and model selection., On residual empirical processes of stochastic regression models with applications to time series, Selecting optimal multistep predictors for autoregressive processes of unknown order., Twenty-one ML estimators for model selection, Structural change and unit roots, Selecting mixed-effects models based on a generalized information criterion, Accumulative prediction error and the selection of time series models, An empirical study of minimum description length model selection with infinite parametric complexity, Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
