Selection of the order of an autoregressive model by Akaike's information criterion
From MaRDI portal
Publication:4130785
DOI10.1093/biomet/63.1.117zbMath0358.62048OpenAlexW1977900532MaRDI QIDQ4130785
Publication date: 1976
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/63.1.117
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items (only showing first 100 items - show all)
Bayesian empirical likelihood inference and order shrinkage for autoregressive models ⋮ Using random subspace method for prediction and variable importance assessment in linear regression ⋮ Consistency of cross-validation when the data are curves ⋮ Modified information criteria and selection of long memory time series models ⋮ An Adaptive Estimation of Dimension Reduction Space ⋮ Order selection for same-realization predictions in autoregressive processes ⋮ Hybridization of intelligent techniques and ARIMA models for time series prediction ⋮ Nonparametric approach to intervention time series modeling ⋮ Model selection for (auto-)regression with dependent data ⋮ Selection of the number of regression variables; A minimax choice of generalized FPE ⋮ Bayesian Identification of Seasonal Autoregressive Models ⋮ On the selection of regression variables ⋮ On the recursive fitting of subset autoregressive-moving average process ⋮ Extending AIC to best subset regression ⋮ Performance of information criteria for selection of Hawkes process models of financial data ⋮ Twenty-one ML estimators for model selection ⋮ Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series ⋮ Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis ⋮ Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA ⋮ Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares ⋮ Using instrumental variables for selecting the order of arma models ⋮ Model-structure selection by cross-validation ⋮ Generalized information criterion ⋮ Model selection and validation methods for non-linear systems ⋮ The impact of information timeliness on the predictability of stock and futures returns: An application of vector models ⋮ Nonlinear predictive control for adaptive adjustments of deep brain stimulation parameters in basal ganglia-thalamic network ⋮ Effects of skewness and kurtosis on model selection criteria ⋮ Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case ⋮ High-dimensional AIC in the growth curve model ⋮ Consistency of high-dimensional AIC-type and \(C_p\)-type criteria in multivariate linear regression ⋮ Simultaneous confidence bands for sequential autoregressive fitting ⋮ Combining seasonal ARIMA models with computational intelligence techniques for time series forecasting ⋮ A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES ⋮ Testing goodness of fit via nonparametric function estimation techniques ⋮ Entropy maximization principle and selection of the order of an autoregressive Gaussian process ⋮ Maximum likelihood and prediction error methods ⋮ Order Choice in Nonlinear Autoregressive Models ⋮ Unnamed Item ⋮ Tests of Granger causality by the selection of the orders of a bivariate autoregressive model ⋮ Contrast-based information criterion for ergodic diffusion processes from discrete observations ⋮ Predictive Density Order Selection of Periodic AR Models ⋮ Simultaneous confidence bands for Yule-Walker estimators and order selection ⋮ A Darling-Erdős type result for stationary ellipsoids ⋮ Analysis and simulation of strong earthquake ground motions using ARMA models ⋮ Misparametrization subsets for penalized least squares model selection ⋮ Estimating the dimension of a linear system ⋮ Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks ⋮ On model selection from a finite family of possibly misspecified time series models ⋮ Identification of multivariate AR-models by threshold accepting ⋮ Selection of Regression and Autoregression Models with Initial Ordering of Variables ⋮ Generalized information criterion for the AR model ⋮ Asymptotic analysis of model selection criteria for general hidden Markov models ⋮ The distribution of estimators after model selection:large and small sample results ⋮ Information criterion as a multiple testing procedure ⋮ Tuning parameter selection for the adaptive LASSO in the autoregressive model ⋮ Model identification for infinite variance autoregressive processes ⋮ An Improved Divergence Information Criterion for the Determination of the Order of an AR Process ⋮ Counterexamples to parsimony and BIC ⋮ Order selection of a multivariate autoregressive model by a modification of the FPE criterion ⋮ Unnamed Item ⋮ Adaptive estimation of mean and volatility functions in (auto-)regressive models. ⋮ An \(R\)-square coefficient based on final prediction error ⋮ Assessing Prediction Error in Autoregressive Models ⋮ On determination of the order of an autoregressive model ⋮ The combination of forecasts: A ranking and subset selection approach ⋮ An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series ⋮ Improvement to AIC as Estimator of Kullback–Leibler Information for Linear Model Selection ⋮ Simple measures of uncertainty for model selection ⋮ The asymptotic joint distribution of the estimated autoregressive coefficients ⋮ Model selection criteria in multivariate models with multiple structural changes ⋮ The distribution of the run length in CUSUM procedures ⋮ Model selection and prediction: Normal regression ⋮ Structure identification of parameter-bounding models by use of noise-structure bounds ⋮ AN IN-DEPTH LOOK AT HIGHEST POSTERIOR MODEL SELECTION ⋮ Bootstrap-based ARMA order selection ⋮ VARMAX-modelling of blast furnace process variables ⋮ Variable selection in regression models using nonstandard optimisation of information criteria ⋮ Finite sample performance of the model selection approach in co-integration analysis ⋮ A note on a local equivalence of two recent approaches to autoregressive order determination ⋮ Criteria for selection of response variables and the asymptotic properties in a multivariate calibration ⋮ Asymptotic distribution of the order selected by AIC in multivariate autoregressive model fitting ⋮ Inference after variable selection using restricted permutation methods ⋮ Testing the means of independent normal random variables ⋮ Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics ⋮ Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation. ⋮ Asymptotic bootstrap corrections of AIC for linear regression models ⋮ Model selection in partially nonstationary vector autoregressive processes with reduced rank structure ⋮ The inverse partial correlation function of a time series and its applications ⋮ Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection ⋮ On the underfitting and overfitting sets of models chosen by order selection criteria. ⋮ Asymptotic mean efficiency of a selection of regression variables ⋮ Consistency of a class of information criteria for model selection in non-linear regression ⋮ Consistent order selection with strongly dependent data and its application to efficient estimation. ⋮ Dimensionally recursive order determination of linear discrete system ⋮ A consistency property of the AIC for multivariate linear models when the dimension and the sample size are large ⋮ Unnamed Item ⋮ Estimation of the degree of differencing of an ARIMA process ⋮ Variable selection for structural models ⋮ Model selection criteria with data dependent penalty, with applications to data-driven neyman smooth tests ⋮ Selection of variables in two-group discriminant analysis by error rate and Akaike's information criteria
This page was built for publication: Selection of the order of an autoregressive model by Akaike's information criterion
