Regression and time series model selection in small samples

DOI10.1093/biomet/76.2.297zbMath0669.62085OpenAlexW1968371014WikidataQ56390547 ScholiaQ56390547MaRDI QIDQ3823031

Clifford M. Hurvich, Chih-Ling Tsai

Publication date: 1989

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/45b1571ab3d6ece632a990daefb734666d29328b

zbMATH Keywords

asymptotic efficiencyMonte Carlo resultsAkaike information criterionKullback-Leibler informationautoregressive time series modelsautoregressive model selectionbias-corrected version of AIClinear regression model selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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