The weighted average information criterion for order selection in time series and regression models

DOI10.1016/S0167-7152(98)00003-0zbMATH Open0986.62071MaRDI QIDQ1265993FDOQ1265993

Authors: Tiee-Jian Wu, Alfred Sepulveda 

Publication date: 10 June 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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zbMATH Keywords

BICconsistencyAICasymptotic efficiencyorder selectionSICAICC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimating the dimension of a model
• Regression and time series model selection in small samples
• Some Comments on C P
• A new look at the statistical model identification
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Title not available (Why is that?)
• Title not available (Why is that?)
• The estimation of the order of an ARMA process
• Title not available (Why is that?)
• Stochastic complexity and modeling
• On predictive least squares principles
• Title not available (Why is that?)
• A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES

Cited In (6)

• Information criteria for nonlinear time series models
• Adaptive order determination for constructing time series forecasting models
• Identifying the number of components in Gaussian mixture models using numerical algebraic geometry
• M-estimator-based robust estimation of the number of components of a superimposed sinusoidal signal model
• On the performance of information criteria for model identification of count time series
• Variable selection in linear regression analysis with alternative Bayesian information criteria using differential evaluation algorithm

Uses Software

• ITSM

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