Choosing a Model Selection Strategy

DOI10.1111/1467-9469.00321zbMATH Open1034.62032OpenAlexW2094590783MaRDI QIDQ4455938FDOQ4455938

Authors: Xavier de Luna, Kostas Skouras 

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00321

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zbMATH Keywords

cross-validationaccumulated prediction errormetaselection

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Parametric inference (62F99)

Cites Work

• A new look at the statistical model identification
• Title not available (Why is that?)
• Model Selection and the Principle of Minimum Description Length
• Modeling by shortest data description
• Title not available (Why is that?)
• The minimum description length principle in coding and modeling
• MDL denoising
• An Improvement of Akaike's FPE Criterion to Reduce its Variability

Cited In (7)

• Title not available (Why is that?)
• Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
• Toward optimal multistep forecasts in non-stationary autoregressions
• 10.1162/153244303322753634
• Model-structure selection by cross-validation
• Estimating prediction error: cross-validation vs. accumulated prediction error
• Accumulative prediction error and the selection of time series models

Uses Software

• Ox

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