scientific article; zbMATH DE number 3886925

zbMATH Open0556.62067MaRDI QIDQ3219620FDOQ3219620

Authors: Yuzo Hosoya 

Publication date: 1984

Title of this publication is not available (Why is that?)

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zbMATH Keywords

model selectionAICinformation criteriageneralized likelihood ratio testsdecision-theoretic approachtime-series modelapproximately unbiased estimate of the cross entropy riskestimated risk functionsimultaneous statistical inference approach

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cited In (16)

• On a criterion for the selection of models for stationary time series
• Time Series and Model Selection
• Information criterion as a multiple testing procedure
• A derivation of the information criteria for selecting autoregressive models
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• Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
• ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS
• A parametric, information-theory model for predictions in time series
• Empirical information criteria for time series forecasting model selection
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• Selection of the number of regression variables; A minimax choice of generalized FPE
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Sparse estimators and the oracle property, or the return of Hodges' estimator
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• Selecting nonlinear time series models using information criteria
• A Bayes procedure for the identification of univariate time series models

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