Relations between information criteria for model-structure selection Part 1. The role of bayesian model order estimation

DOI10.1080/00207179008953542zbMATH Open0713.62031OpenAlexW2059468539MaRDI QIDQ3198704FDOQ3198704

Authors: S. M. Veres 

Publication date: 1990

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179008953542

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zbMATH Keywords

strong consistencyinformation criteriaARMA modelsexponential stabilityprediction error identificationorder estimationARMAX modelsstructure selectionpenalty termsbest model structurecomplexity criterionModel structure estimation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• The estimation of the order of an ARMA process
• Stochastic complexity and modeling
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• Multivariate linear time series models
• Title not available (Why is that?)
• Maximum likelihood and prediction error methods
• Title not available (Why is that?)
• Structure identification of parameter-bounding models by use of noise-structure bounds

Cited In (1)

• Twenty-one ML estimators for model selection

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