Maximized log-likelihood updating and model selection.

DOI10.1016/S0167-7152(03)00174-3zbMath1113.62302OpenAlexW1964764385MaRDI QIDQ1423127

D. Massart

Publication date: 14 February 2004

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00174-3

zbMATH Keywords

Information criteriaMaximized log-likelihoodUpdating formula

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10)

Cites Work

• On predictive least squares principles
• Estimating the dimension of a model
• Maximum likelihood principle and model selection when the true model is unspecified
• THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION
• Generalised information criteria in model selection
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