Accumulative prediction error and the selection of time series models
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Publication:2507906
DOI10.1016/J.JMP.2006.01.004zbMATH Open1099.62103OpenAlexW2142743431MaRDI QIDQ2507906FDOQ2507906
Authors: Eric-Jan Wagenmakers, Mark Steyvers, Peter D. Grünwald 
Publication date: 5 October 2006
Published in: Journal of Mathematical Psychology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmp.2006.01.004
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model selectionlong-range dependenceprediction errortime series analysispredictive MDLprequential methods
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10)
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Cited In (12)
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- Categorization with limited resources: A family of simple heuristics
- Cross validation for uncertain autoregressive model
- Bayes factors: Prior sensitivity and model generalizability
- Evaluating the reliance on past choices in adaptive learning models
- Bayesian parameter estimation in the Expectancy Valence model of the Iowa gambling task
- A tutorial on Fisher information
- Estimating prediction error: cross-validation vs. accumulated prediction error
- Harold Jeffreys's default Bayes factor hypothesis tests: explanation, extension, and application in psychology
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- An empirical study of minimum description length model selection with infinite parametric complexity
- A tutorial on adaptive design optimization
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