Forecasting ARMA models: a comparative study of information criteria focusing on MDIC

DOI10.1080/00949650802464137MaRDI QIDQ5306304zbMATH OpenOpenAlexFDO

Authors Panagiotis Mantalos, A. Karagrigoriou, K. Mattheou

Publication date 8 April 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650802464137

zbMATH Keywords

ARMA processinformation criterionmodel selectionmodified divergence information criterion (MDIC)NMSFEtables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

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• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Bootstrap choice of estimators in parametric and semiparametric families: an extension of EIC
• Bootstrap variants of the Akaike information criterion for mixed model selection
• Bootstrapping log likelihood and EIC, an extension of AIC
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• On Information and Sufficiency
• On the quantile process based on the autoregressive residuals.
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• Robust and efficient estimation by minimising a density power divergence
• The estimation of the order of an ARMA process

Cited in

(5)

• On properties of the \((\Phi , a)\)-power divergence family with applications in goodness of fit tests
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• Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
• Statistical inference for multinomial populations based on a double index family of test statistics
• A discrete probabilistic model for analyzing pairwise comparison matrices

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