Regression and time series model selection using variants of the schwarz information criterion

DOI10.1080/03610929708831934MaRDI QIDQ4346826zbMATH OpenOpenAlexFDO

Authors A. A. Neath, Joseph E. Cavanaugh

Publication date 12 February 2004

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929708831934

zbMATH Keywords

Bayesian analysisstate-space modeldecision theorymultiple linear regressioninformation theoryFisher information

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A new look at the statistical model identification
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Bayes Factors
• Estimating the dimension of a model
• Modeling by shortest data description
• On the choice of a model to fit data from an exponential family
• Optimal Choice of AR and MA Parts in Autoregressive Moving Average Models
• Regression and time series model selection in small samples

Cited in

(17)

• Discussion of prior-based Bayesian information criterion (PBIC) by M.J. Bayarria, James O. Berger, Woncheol Jang, Surajit Ray, Luis R. Pericchi, and Ingmar Visser
• Extension of the Schwarz information criterion for models sharing parameter boundaries
• Laplace approximations and Bayesian information criteria in possibly misspecified models
• The weighted average information criterion for order selection in time series and regression models
• Machine learning problems from optimization perspective
• Dependence of Bayesian model selection criteria and Fisher information matrix on sample size
• Model-modified BIC as a competitor of BIC variants for model selection in regression and order selection in time series
• Time Series and Model Selection
• scientific article; zbMATH DE number 7647984 (Why is no real title available?)
• Information criteria: how do they behave in different models?
• Model selection with misspecified spatial covariance structure
• Model selection rates of information based criteria
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• A multiple comparison procedure based on a variant of the Schwarz information criterion in a mixed model
• Model selection for stock prices data
• A note on model selection using information criteria for general linear models estimated using REML
• Performance of Variable Selection Methods in Regression Using Variations of the Bayesian Information Criterion

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