Bridging AIC and BIC: A New Criterion for Autoregression

DOI10.1109/TIT.2017.2717599MaRDI QIDQ5375561zbMATH OpenOpenAlexFDO

Authors Jie Ding, Vahid Tarokh, Yuhong Yang

Publication date 14 September 2018

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.02473

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of information, entropy (94A17)

Abstract: We introduce a new criterion to determine the order of an autoregressive model fitted to time series data. It has the benefits of the two well-known model selection techniques, the Akaike information criterion and the Bayesian information criterion. When the data is generated from a finite order autoregression, the Bayesian information criterion is known to be consistent, and so is the new criterion. When the true order is infinity or suitably high with respect to the sample size, the Akaike information criterion is known to be efficient in the sense that its prediction performance is asymptotically equivalent to the best offered by the candidate models; in this case, the new criterion behaves in a similar manner. Different from the two classical criteria, the proposed criterion adaptively achieves either consistency or efficiency depending on the underlying true model. In practice where the observed time series is given without any prior information about the model specification, the proposed order selection criterion is more flexible and robust compared with classical approaches. Numerical results are presented demonstrating the adaptivity of the proposed technique when applied to various datasets.

Cited in

(8)

• Asymptotic analysis of model selection criteria for general hidden Markov models
• Model selection for high-dimensional linear regression with dependent observations
• Order selection for possibly infinite-order non-stationary time series
• Controlling the error probabilities of model selection information criteria using bootstrapping
• On consistency for time series model selection
• Bayesian synergistic metamodeling (BSM) for physical information infused data-driven metamodeling
• Post-averaging inference for optimal model averaging estimator in generalized linear models
• Information criteria for model selection

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