The model selection criterion AICu.
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Publication:1380660
DOI10.1016/S0167-7152(96)00192-7zbMath1064.62541MaRDI QIDQ1380660
Chih-Ling Tsai, Robert H. Shumway, Allan McQuarrie
Publication date: 1997
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
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Cites Work
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- A Bayesian analysis of the minimum AIC procedure
- Statistical predictor identification
- Regression and time series model selection in small samples
- An optimal selection of regression variables
- Some Comments on C P
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