Information criteria for nonlinear time series models

DOI10.1515/SNDE-2015-0026MaRDI QIDQ2691663zbMATH OpenOpenAlexFDO

Authors Saskia Rinke, Philipp Sibbertsen

Publication date 30 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2015-0026

zbMATH Keywords

Monte Carlononlinear time seriesinformation criteriathreshold models

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(11)

• Models for autoregressive processes of bounded counts: how different are they?
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• The information matrix of multiple-input single-output time series models
• A parametric, information-theory model for predictions in time series
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• Estimating the active dimension of the dynamics in a time series based on an information criterion
• Selecting nonlinear time series models using information criteria

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