Optimal information criteria minimizing their asymptotic mean square errors

DOI10.1007/S13571-016-0115-9MaRDI QIDQ506001zbMATH OpenOpenAlexFDO

Authors Haruhiko Ogasawara

Publication date 27 January 2017

Published in Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13571-016-0115-9

zbMATH Keywords

Kullback-Leibler distanceAkaike information criterionasymptotic biasasymptotic mean square errorTakeuchi information criterion

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

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• On Information and Sufficiency
• Regression and time series model selection in small samples
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• Some Comments on C P

Cited in

(4)

• An asymptotic equivalence of the cross-data and predictive estimators
• PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS
• Improving weighted information criterion by using optimization
• Asymptotic cumulants of some information criteria

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