Model selection by sequentially normalized least squares

DOI10.1016/j.jmva.2009.12.009zbMath1181.62144OpenAlexW2166111667WikidataQ58935863 ScholiaQ58935863MaRDI QIDQ2267585

Teemu Roos, Jorma Rissanen, 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

model selectiontime serieslinear regressionpredictive least squaresorder estimation

Mathematics Subject Classification ID

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

Related Items (3)

Unnamed Item ⋮ Subset Selection in Linear Regression using Sequentially Normalized Least Squares: Asymptotic Theory ⋮ Minimum description length revisited

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