scientific article; zbMATH DE number 3635352
From MaRDI portal
zbMath0408.62076MaRDI QIDQ4195812
Publication date: 1979
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
SimulationsLaw of Iterated LogarithmYule-Walker EquationsStrong ConvergenceAicAutoregressive OrderPartial AutocorrelationsStrongly Consistent Estimation
Related Items
Mutual information model selection algorithm for time series, The unit-Weibull distribution as an alternative to the Kumaraswamy distribution for the modeling of quantiles conditional on covariates, Skew-normal Bayesian spatial heterogeneity panel data models, Model-based approach for scenario design: stress test severity and banks' resiliency, Feature‐Specific Penalized Latent Class Analysis for Genomic Data, A Unified Approach for Simultaneous Gene Clustering and Differential Expression Identification, Bayesian analysis of generalized linear mixed models with spatial correlated and unrestricted skew normal errors, Testing distributional assumption of unit-Lindley regression model, Some new flexible classes of normal distribution for fitting multimodal data, General Hannan and Quinn criterion for common time series, The comparison study of the model selection criteria on the Tobit regression model based on the bootstrap sample augmentation mechanisms, Performance of information criteria for selection of Hawkes process models of financial data, Compound geometric and Poisson models, On Efficient AR Spectral Estimation for Long-Range Predictions, J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY, PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?, Blockwise AICc and its consistency properties in model selection, Income modeling with the Weibull mixtures, A penalized approach to mixed model selection via cross-validation, A modified information criterion for model selection, Consistent estimation of the number of regimes in Markov-switching autoregressive models, Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling, The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study, D-Trace estimation of a precision matrix with eigenvalue control, Automatic SARIMA modeling and forecast accuracy, Skew-normal generalized spatial panel data model, A new generalization of the gamma distribution with application to negatively skewed survival data, A generalized Gumbel distribution and its parameter estimation, PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models, A procedure for variable selection in double generalized linear models, Selection of linear mixed‐effects models for clustered data, Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, A new type 1 alpha power family of distributions and modeling data with correlation, overdispersion, and zero-inflation in the health data sets, LASSO order selection for sparse autoregression: a bootstrap approach, Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty, SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure, Inflated beta autoregressive moving average models, Unnamed Item, Unnamed Item, On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations, Simultaneous outlier detection and variable selection for spatial Durbin model, A stochastic approximation ECME algorithm to semi-parametric scale mixtures of centred skew normal regression models, Unnamed Item, Consideration on the learning efficiency of multiple-layered neural networks with linear units, Unnamed Item, Unnamed Item, Forecast mean squared error reductionin the VAR(1) process, On the advantages of the non-concave penalized likelihood model selection method with minimum prediction errors in large-scale medical studies, Parameter changes in GARCH model, Discrepancy in regression estimates between log-normal and gamma: some case studies, M-estimator-based robust estimation of the number of components of a superimposed sinusoidal signal model, A cointegration analysis of crime, economic activity, and police performance in São Paulo city, Unnamed Item, The Development of an Information Criterion for Change-Point Analysis, DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, Time Series Analysis of Relationships Among Crypto-asset Exchange Rates, GARCH model selection criteria, Benchmark priors for Bayesian model averaging., Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models, Unnamed Item, Asymptotically efficient order selection in nonstationary AR processes, Inference of Seasonal Long‐memory Time Series with Measurement Error, Computer automation of general-to-specific model selection procedures, Estimating the number of signals of the damped exponential models., Incorporating lag order selection uncertainty in parameter inference for AR models, Dynamic component detection in a multifactor model for stock returns, What is the impact of wealth shocks on asset allocation?, Unnamed Item, An extension of Rayleigh distribution and applications, Beta seasonal autoregressive moving average models, Model selection procedure for high‐dimensional data, Smoothing methods for histogram‐valued time series: an application to value‐at‐risk, Model selection information criteria in latent class models with missing data and contingency question, A Bayesian estimation of lag lengths in distributed lag models, Adaptive order selection for autoregressive models, The type I half-logistic family of distributions, The Doubly Adaptive LASSO for Vector Autoregressive Models, A radial basis function artificial neural network test for neglected nonlinearity, Order Selection and Inference with Long Memory Dependent Data, Time-varying multi-regime models fitting by genetic algorithms, ON DETECTION OF EPILEPTIC SEIZURE WITH AN APPROACH BASED ON POWER SPECTRAL DENSITY WITH AN AR MODEL, Semiparametric cointegrating rank selection, Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models, A Reparameterized Weighted Lindley Distribution: Properties, Estimation and Applications, Model selection for factor analysis: Some new criteria and performance comparisons, On asymptotic risk of selecting models for possibly nonstationary time-series, Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes, Bootstrap tests for time varying cointegration, Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes, Lag length selection in panel autoregression, Some connections between Bayesian and non-Bayesian methods for regression model selection, A procedure for estimating the number of clusters in logistic regression clustering, Using simulated annealing to optimize the feature selection problem in marketing applications, Predictive stochastic complexity and model estimation for finite-state processes, On the quantification of model uncertainty: a Bayesian perspective, Variable selection in generalized random coefficient autoregressive models, Information in generalized method of moments estimation and entropy-based moment selection, Modified information criteria and selection of long memory time series models, A note on some model selection criteria, The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model, Model selection for forecasting, Selection of the number of regression variables; A minimax choice of generalized FPE, Nonlinear models for strongly dependent processes with financial applications, Dynamical effects of overparametrization in nonlinear models, Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models, Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions, An efficient branch-and-bound strategy for subset vector autoregressive model selection, On the recursive fitting of subset autoregressive-moving average process, Mixed integer second-order cone programming formulations for variable selection in linear regression, Bayesian model learning based on predictive entropy, On model order estimation for partially observed Markov chains, Inferring the rank of a matrix, Bootstrap order determination for ARMA models: a comparison between different model selection criteria, Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods, The exact Gaussian likelihood estimation of time-dependent VARMA models, On constrained estimation of graphical time series models, Nonstationary time series identification, Consistent order estimation for linear stochastic feedback control systems (CARMA model), Massively parallel feature selection: an approach based on variance preservation, Unifying the derivations for the Akaike and corrected Akaike information criteria., A note on the generalized degrees of freedom under the \(L_{1}\) loss function, Effects of skewness and kurtosis on model selection criteria, Model selection rates of information based criteria, A new criterion for variable selection, Two-step adaptive model selection for vector autoregressive processes, Subset selection for vector autoregressive processes via adaptive Lasso, Order selection for heteroscedastic autoregression: a study on concentration, On the performance of West's bubble test: a simulation approach, Simultaneous confidence bands for sequential autoregressive fitting, Goodness-of-fit tests in mixed models, Mathematical issues in the inference of causal interactions among multichannel neural signals, Bayesian graphical model determination using decision theory, Tests of Granger causality by the selection of the orders of a bivariate autoregressive model, Parsimonious structural equation models for repeated measures data, with application to the study of consumer preferences, Likelihood of a model and information criteria, Bootstrap-based model selection criteria for beta regressions, Variable selection strategies in survival models with multiple imputations, Granger-causality in multiple time series, Simultaneous confidence bands for Yule-Walker estimators and order selection, The efficiency of financial futures markets: tests of prediction accuracy., An \(M\)-estimation-based procedure for determining the number of regression models in regression clustering, A two-stage information criterion for stochastic systems revisited, A robust factor analysis model using the restricted skew-\(t\) distribution, Identification of multivariate AR-models by threshold accepting, Strongly consistent estimation of the order of stochastic control systems (CARMA model), Generalized information criterion for the AR model, A Hilbert-Huang transform approach for predicting cyber-attacks, Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process, A corrected Akaike criterion based on Kullback's symmetric divergence: applications in time series, multiple and multivariate regression, An improved Akaike information criterion for state-space model selection, Information criterion as a multiple testing procedure, New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models, Tuning parameter selection for the adaptive LASSO in the autoregressive model, Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method, Cointegrating rank selection in models with time-varying variance, Model selection in the presence of nonstationarity, The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach, Counterexamples to parsimony and BIC, Beta autoregressive fractionally integrated moving average models, Hedging effectiveness of stock index futures, Model identification of ARIMA family using genetic algorithms, BAT - the Bayesian analysis toolkit, Fence methods for mixed model selection, A simplified adaptive fence procedure, Identification of vector AR models with recursive structural errors using conditional independence graphs, Akaike-type criteria and the reliability of inference: model selection versus statistical model specification, Model evaluation, discrepancy function estimation, and social choice theory, Bayesian learning of graphical vector autoregressions with unequal lag-lengths, Restricted fence method for covariate selection in longitudinal data analysis, Model selection and prediction: Normal regression, Order selection in finite mixtures of linear regressions, On model selection in the computer age, AR and ARMA spectral estimation, The weighted average information criterion for order selection in time series and regression models, On time series model selection involving many candidate ARMA models, Variable selection in regression models using nonstandard optimisation of information criteria, Forecasting exchange rate volatility using conditional variance models selected by information criteria, Specification via model selection in vector error correction models, Model selection for integrated autoregressive processes of infinite order, Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation., The GIC for model selection: A hypothesis testing approach, Efficient and adaptive post-model-selection estimators, Model selection with data-oriented penalty, Estimation of structure by minimum description length, Asymptotic mean efficiency of a selection of regression variables, Appropriate penalties in the final prediction error criterion: A decision theoretic approach, Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality', Nonparametric curve estimation with time series errors, Model selection in linear mixed models, SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity, Unnamed Item, Unnamed Item, Goodness-of-fit test with a robustness feature, Modeling futures price dynamics on the RTS and MICEX indices, Densities, spectral densities and modality., Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application, Parameter estimation and model-based clustering with spherical normal distribution on the unit hypersphere, A robust class of multivariate fatigue distributions based on normal mean-variance mixture model, Order selection for same-realization predictions in autoregressive processes, Minimal penalties for Gaussian model selection, Bayesian analysis of the error correction model, Complementary beta regression model for fitting bounded data, On the connection between model selection criteria and quadratic discrimination in ARMA time series models, Weighted generalized quasi Lindley distribution: different methods of estimation, applications for Covid-19 and engineering data, A note on: ``Impact factor distribution revisited, Estimation and decomposition of food price inflation risk, Structure identification of nonlinear dynamic systems - A survey on input/output approaches, Twenty-one ML estimators for model selection, Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series, Improved model selection criteria for SETAR time series models, Model selection: a Lagrange optimization approach, Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares, High-dimensional asymptotic behavior of the difference between the log-determinants of two Wishart matrices, The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries, Generalized information criterion, Information criteria for selecting possibly misspecified parametric models, Model selection strategies for determining the optimal number of overlapping clusters in additive overlapping partitional clustering, Automated learning of \(t\) factor analysis models with complete and incomplete data, Bivariate exponentiated discrete Weibull distribution: statistical properties, estimation, simulation and applications, Asymptotics of AIC, BIC, and RMSEA for model selection in structural equation modeling, Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests, Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials, Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector, A reduced distribution of the modified Weibull distribution and its applications to medical and engineering data, On the performance of information criteria for model identification of count time series, Autoregressive spatial spectral estimates, Estimating cross-section common stochastic trends in nonstationary panel data, Determining the MSE-optimal cross section to forecast, Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order, A small-sample correction for the Schwarz SIC model selection criterion., A large-sample model selection criterion based on Kullback's symmetric divergence, Semiparametric selection of seasonal cointegrating ranks using information criteria, A neural network method for nonlinear time series analysis, Semiparametric Seasonal Cointegrating Rank Selection, Ridge parameters optimization based on minimizing model selection criterion in multivariate generalized ridge regression, DWT-CEM: an algorithm for scale-temporal clustering in fMRI, Regularization parameter selection for penalized empirical likelihood estimator, Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search, The exponentiated Gumbel type-2 distribution: properties and application, Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases, Evaluating latent class analysis models in qualitative phenotype identification, Recursive order estimation of stochastic control systems, Approximate maximum likelihood estimation of a threshold diffusion process, Linear model selection by cross-validation, Selecting mixed-effects models based on a generalized information criterion, Consistent estimation of the basic neighborhood of Markov random fields, Towards data driven selection of a penalty function for data driven Neyman tests, Data-guided model combination by decomposition and aggregation, Strong consistency of log-likelihood-based information criterion in high-dimensional canonical correlation analysis, On determination of the order of an autoregressive model, A multicointegration model of global climate change, A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling, Consistent variable selection in high dimensional regression via multiple testing, An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series, On partial-sum processes of ARMAX residuals, Variable selection in STAR models with neighbourhood effects using genetic algorithms, An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification, Multi-regime models for nonlinear nonstationary time series, Estimates of the PDF and the CDF of the exponentiated Weibull distribution, Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size, A consistent variable selection method in high-dimensional canonical discriminant analysis, The estimation of frequency in the multichannel sinusoidal model, Joint Variable Selection for Fixed and Random Effects in Linear Mixed-Effects Models, An effective procedure for feature subset selection in logistic regression based on information criteria, Selecting nonlinear time series models using information criteria, Model selection in orthogonal regression, Cointegration rank switching model: an application to forecasting interest rates, In memoriam: Paruchuri Rama Krishnaiah (1932--1987). A tribute, On detection of the number of signals in presence of white noise, A fast algorithm for optimizing ridge parameters in a generalized ridge regression by minimizing a model selection criterion, Maximum likelihood principle and model selection when the true model is unspecified, Order selection for possibly infinite-order non-stationary time series, Fully Bayesian analysis of ARMA time series models, Stochastic complexities of reduced rank regression in Bayesian estimation, Stochastic simulation of bivariate gamma distribution: a frequency-factor based approach, The impact of digital transformation on the economic growth of the countries, A model selection criterion for count models based on a divergence between probability generating functions, Modeling right-skewed heavy-tail right-censored survival data with application to HIV viral load, Determining the order of the functional autoregressive model, A consistent procedure for determining the number of clusters in regression clustering, The consistency of the BIC Markov order estimator., Asymptotically minimax regret procedures in regression model selection and the magnitude of the dimension penalty., Linear estimating equations for exponential families with application to Gaussian linear concentration models, A consistent model selection for orthogonal regression under component-wise shrinkage, Model selection of M-estimation models using least squares approximation, Consistent order selection with strongly dependent data and its application to efficient estimation., Assessment of agricultural sustainability in European union countries: a group-based multivariate trajectory approach, RISK PERCEPTION AND EQUITY RETURNS: EVIDENCE FROM THE SPX AND VIX, Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000, The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
