scientific article; zbMATH DE number 1034039

MaRDI QIDQ4344407zbMATH OpenFDO

Authors Tze Leung Lai, C. P. Lee

Publication date 14 October 1998

zbMATH Keywords

accumulated prediction error criterionBICFisher information criterionFPEKullback-Leibler information

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• Model selection and prediction: Normal regression
• On the connection between model selection criteria and quadratic discrimination in ARMA time series models
• Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
• Order selection in ARMA models using the focused information criterion
• Model selection for volatility prediction
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
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• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Forecasting ARMA models: a comparative study of information criteria focusing on MDIC
• Estimation of AR and ARMA models by stochastic complexity
• Model averaging for asymptotically optimal combined forecasts
• A two-stage information criterion for stochastic systems revisited
• Fourth order Taylor-Kármán structured covariance tensor for gravity gradient predictions by means of the Hankel transformation

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