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

DOI10.1080/00207179008953542MaRDI QIDQ3198704zbMATH OpenOpenAlexFDO

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

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)

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• Maximum likelihood and prediction error methods
• Multivariate linear time series models
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• Structure identification of parameter-bounding models by use of noise-structure bounds
• The estimation of the order of an ARMA process

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