Model selection by sequentially normalized least squares

DOI10.1016/J.JMVA.2009.12.009MaRDI QIDQ2267585zbMATH OpenOpenAlexWikidataFDO

Authors Jorma Rissanen, Teemu Roos, Petri Myllymäki

Publication date 1 March 2010

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

Full work available at URL https://doi.org/10.1016/j.jmva.2009.12.009

zbMATH Keywords

linear regressionmodel selectionorder estimationpredictive least squarestime series

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Linear regression; mixed models (62J05) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(14)

• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• On predictive least squares principles
• Model selection and prediction: Normal regression
• Random norming AIDS analysis of non-linear regression models with sequential informative dose selection
• Subset selection in linear regression using sequentially normalized least squares: asymptotic theory
• A Predictive Least-Squares Principle
• Relations between information criteria for model-structure selection Part 2. Modelling by shortest data description
• Relations between information criteria for model-structure selection Part 3. Strong consistency of the predictive least squares criterion
• Order selection for AR models by predictive least squares
• A COMPUTER-ASSISTED MODEL SELECTION METHOD FOR THREE STAGE LEAST SQUARES
• Minimum description length revisited
• scientific article; zbMATH DE number 7625184 (Why is no real title available?)
• Bias-variance trade-off for prequential model list selection
• Partial likelihood for online order selection

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