Generalized information criterion for the AR model

DOI10.1016/j.jkss.2016.12.002zbMath1390.62180OpenAlexW2561416267MaRDI QIDQ508120

Okyoung Na

Publication date: 9 February 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.12.002

zbMATH Keywords

subset selectionautoregressive modeladaptive Lassogeneralized information criterionsunspot numbers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Autoregressive process modeling via the Lasso procedure
• An introduction to bispectral analysis and bilinear time series models
• Estimating the dimension of a model
• On Bernstein-type inequalities for martingales.
• Fitting autoregressive models for prediction
• Partial autocorrelation parameterization for subset autoregression
• Regression and time series model selection in small samples
• Subset Autoregression
• Selection of the order of an autoregressive model by Akaike's information criterion
• On a method of identification of best subset model from full ar-model
• A new look at the statistical model identification
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