scientific article; zbMATH DE number 3886925

MaRDI QIDQ3219620zbMATH OpenFDO

Authors Yuzo Hosoya

Publication date 1984

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)

Recommendations

• Information criteria for nonlinear time series models
• Empirical information criteria for time series forecasting model selection
• Selecting nonlinear time series models using information criteria
• scientific article; zbMATH DE number 3864336
• Model specification testing of time series regressions
• Modified information criteria and selection of long memory time series models
• On the performance of information criteria for model identification of count time series
• A parametric, information-theory model for predictions in time series
• The focussed information criterion for generalised linear regression models for time series
• Consistent model selection criteria and goodness-of-fit test for common time series models

Cited in

(19)

• On a criterion for the selection of models for stationary time series
• scientific article; zbMATH DE number 48227 (Why is no real title available?)
• Information criterion as a multiple testing procedure
• Time Series and Model Selection
• A derivation of the information criteria for selecting autoregressive models
• scientific article; zbMATH DE number 3864336 (Why is no real title available?)
• 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
• Consistent model selection criteria and goodness-of-fit test for common time series models
• A parametric, information-theory model for predictions in time series
• scientific article; zbMATH DE number 3974093 (Why is no real title available?)
• Empirical information criteria for time series forecasting model selection
• 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
• scientific article; zbMATH DE number 1406069 (Why is no real title available?)
• On asymptotic risk of selecting models for possibly nonstationary time-series
• Selecting nonlinear time series models using information criteria
• A Bayes procedure for the identification of univariate time series models

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3219620)