Choosing a Model Selection Strategy

DOI10.1111/1467-9469.00321MaRDI QIDQ4455938zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

accumulated prediction errorcross-validationmetaselection

Mathematics Subject Classification ID

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

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Cites work

• A new look at the statistical model identification
• An Improvement of Akaike's FPE Criterion to Reduce its Variability
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• scientific article; zbMATH DE number 700041 (Why is no real title available?)
• MDL denoising
• Model Selection and the Principle of Minimum Description Length
• Modeling by shortest data description
• The minimum description length principle in coding and modeling

Cited in

(9)

• Accumulative prediction error and the selection of time series models
• Model and feature selection in metrology data approximation
• Estimating prediction error: cross-validation vs. accumulated prediction error
• Model-structure selection by cross-validation
• scientific article; zbMATH DE number 4088698 (Why is no real title available?)
• Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
• 10.1162/153244303322753634
• Toward optimal multistep forecasts in non-stationary autoregressions
• Parametric or nonparametric? A parametricness index for model selection

Describes a project that uses

Uses Software

• Ox

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