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

DOI10.1080/03610929708831934zbMATH Open1030.62532OpenAlexW2079837390MaRDI QIDQ4346826FDOQ4346826

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

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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)

Cites Work

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

Cited In (17)

• Time Series and Model Selection
• Laplace approximations and Bayesian information criteria in possibly misspecified models
• Extension of the Schwarz information criterion for models sharing parameter boundaries
• Information criteria: how do they behave in different models?
• A note on model selection using information criteria for general linear models estimated using REML
• Dependence of Bayesian model selection criteria and Fisher information matrix on sample size
• The weighted average information criterion for order selection in time series and regression models
• Performance of Variable Selection Methods in Regression Using Variations of the Bayesian Information Criterion
• Machine learning problems from optimization perspective
• A multiple comparison procedure based on a variant of the Schwarz information criterion in a mixed model
• 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
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• Title not available (Why is that?)
• Model-modified BIC as a competitor of BIC variants for model selection in regression and order selection in time series
• Model selection for stock prices data
• Model selection rates of information based criteria
• Model selection with misspecified spatial covariance structure

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