On the connection between model selection criteria and quadratic discrimination in ARMA time series models

DOI10.1016/J.SPL.2006.12.010MaRDI QIDQ2373672zbMATH OpenOpenAlexFDO

Authors Pedro Galeano, Daniel Peña

Publication date 16 July 2007

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

Full work available at URL https://doi.org/10.1016/j.spl.2006.12.010

zbMATH Keywords

consistencyasymptotic efficiency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A comparison of the information and posterior probability criteria for model selection
• Accurate Approximations for Posterior Moments and Marginal Densities
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• On the choice of a model to fit data from an exponential family
• Regression and time series model selection in small samples

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