A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

DOI10.1111/J.1467-9892.1993.TB00144.XzbMATH Open0768.62076OpenAlexW2003068901MaRDI QIDQ5285834FDOQ5285834

Authors: Clifford Hurvich, Chih-Ling Tsai 

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00144.x

Recommendations

• A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling
• Order selection criteria for vector autoregressive models
• Regression and time series model selection in small samples
• The model selection criterion AICu.
• A derivation of the information criteria for selecting autoregressive models

zbMATH Keywords

vector autoregressive modelsAkaike information criterionMonte Carlo resultsorder selectionapproximately unbiased estimatorexpected Kullback-Leibler informationsmall-sample criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• Estimating the dimension of a model
• A new look at the statistical model identification
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fitting autoregressive models for prediction
• Title not available (Why is that?)
• The exact likelihood function of multivariate autoregressive-moving average models

Cited In (39)

• A corrected Akaike criterion based on Kullback's symmetric divergence: applications in time series, multiple and multivariate regression
• Information criteria for Fay-Herriot model selection
• Sieve bootstrap for functional time series
• A derivation of the information criteria for selecting autoregressive models
• Autoregressive model order selection by a finite sample estimator for the Kullback-Leibler discrepancy
• Unifying the derivations for the Akaike and corrected Akaike information criteria.
• Bootstrap variants of the Akaike information criterion for mixed model selection
• Estimating the orders of weak multivariate ARMA models
• A note on the corrected Akaike information criterion for threshold autoregressive models
• Multivariate regression model selection from small samples using Kullback's symmetric divergence
• Identifying the number of components in Gaussian mixture models using numerical algebraic geometry
• Order selection criteria for vector autoregressive models
• Title not available (Why is that?)
• Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
• Is first-order vector autoregressive model optimal for fMRI data?
• Modification of the Mallows-Akaike criterion for selecting the order of a regression model
• Insights into the mechanisms of thymus involution and regeneration by modeling the glucocorticoid-induced perturbation of thymocyte populations dynamics
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Bivariate exponentiated discrete Weibull distribution: statistical properties, estimation, simulation and applications
• An improved Akaike information criterion for state-space model selection
• A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling
• A multistage algorithm for best-subset model selection based on the Kullback-Leibler discrepancy
• Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
• Title not available (Why is that?)
• Akaike's information criterion correction for the least-squares autoregressive spectral estimator
• Modeling volatility using state space models with heavy tailed distributions
• Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
• Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models
• A comparison of some criteria for states selection in the latent Markov model for longitudinal data
• Asymptotic theory for information criteria in model selection -- functional approach
• Subspace information criterion for model selection
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• A large-sample model selection criterion based on Kullback's symmetric divergence
• Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
• Bootstrap Prediction Bands for Functional Time Series
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity
• Selection of weak VARMA models by modified Akaike's information criteria
• Model selection for independent not identically distributed observations based on Rényi's pseudodistances

This page was built for publication: A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5285834)