A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
From MaRDI portal
Publication:4194328
DOI10.1093/biomet/66.2.237zbMath0407.62064WikidataQ61440894 ScholiaQ61440894MaRDI QIDQ4194328
Publication date: 1979
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/66.2.237
Prediction; Numerical Examples; Aic Statistics; Bayesian Procedure; Fitting of Autoregressive Models; Fpe
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
Related Items
use of neural networks for system structure identification, Test of Significance in order selection, COMPARATIVE POWER STUDIES FOR GOODNESS OF FIT TESTS OF TIME SERIES MODELS, Signal Extraction Problems in Seismology, Schwarz, Wallace, and Rissanen: Intertwining Themes in Theories of Model Selection, Model selection for infinite variance time series, Model specification tests for balanced representation state space models, Order Choice in Nonlinear Autoregressive Models, Bayesian model learning based on predictive entropy, Analysis and simulation of strong earthquake ground motions using ARMA models, The inverse partial correlation function of a time series and its applications, Likelihood ratio testing on partial multinormal data, Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions, Stratification by stepwise regression, correspondence analysis and recursive partition: A comparison of three methods of analysis for survival data with covariates, Likelihood analysis of spatial inhomogeneity for marked point patterns, On the use of the predictive likelihood of a Gaussian model, Likelihood of a model and information criteria, Granger-causality in multiple time series, A Bayesian approach to state space multivariate time series modeling, Estimation of the arrival times of seismic waves by multivariate time series model, Autoregressive model selection for multistep prediction, SEMIFAR forecasts, with applications to foreign exchange rates., Testing for serial correlation in multivariate regression models, The likelihood of various stock market return distributions. II: Empirical results, SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity, Fully Bayesian analysis of ARMA time series models, Exploratory spectral analysis of hydrological times series, Testing the order of discrete Markov chains using surrogate data, Order selection for same-realization predictions in autoregressive processes, A modified PNN algorithm with optimal PD modeling using the orthogonal least squares method, A Monte Carlo method for an objective Bayesian procedure, ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION, ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH, LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE, THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
