Accumulative prediction error and the selection of time series models

DOI10.1016/J.JMP.2006.01.004MaRDI QIDQ2507906zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

model selectionlong-range dependenceprediction errortime series analysispredictive MDLprequential methods

Mathematics Subject Classification ID

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

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• Categorization with limited resources: A family of simple heuristics
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• A tutorial on adaptive design optimization
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• Bayes factors: Prior sensitivity and model generalizability

Describes a project that uses

Uses Software

• Ox
• BayesDA
• longmemo

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