Selecting nonlinear time series models using information criteria

DOI10.1111/j.1467-9892.2009.00614.xzbMath1224.62067MaRDI QIDQ3077654

Martin Sola, Fabio Spagnolo, Zacharias Psaradakis, Nicola Spagnolo

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00614.x

zbMATH Keywords

nonlinear models; Monte Carlo experiments; complexity-penalized likelihood criteria

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

62B10: Statistical aspects of information-theoretic topics

Related Items

Time-varying multi-regime models fitting by genetic algorithms

Uses Software

• ESTAR

Cites Work

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