An improved Akaike information criterion for state-space model selection

DOI10.1016/j.csda.2005.05.003zbMath1446.62235OpenAlexW1989113356MaRDI QIDQ959349

Thomas Bengtsson, Joseph E. Cavanaugh

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.05.003

zbMATH Keywords

Kullback-Leibler informationtime series analysisstate-space modelAICKullback's directed divergence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items

Variance estimation for integrated population models ⋮ Parameter estimation via stochastic variants of the ECM algorithm with applications to plant growth modeling ⋮ Model selection criteria based on cross-validatory concordance statistics ⋮ Extending AIC to best subset regression ⋮ Forecasting ARMA models: a comparative study of information criteria focusing on MDIC ⋮ Unit roots and cointegration modelling through a family of flexible information criteria ⋮ Integrated population models: achieving their potential ⋮ Mixed-Response State-Space Model for Analyzing Multi-Dimensional Digital Phenotypes ⋮ Bootstrap-based model selection criteria for beta regressions ⋮ Model selection criteria in beta regression with varying dispersion ⋮ A divergence test for autoregressive time series models ⋮ A modified \(C_{p}\) statistic in a system-of-equations model ⋮ U-Statistic Based Modified Information Criterion for Change Point Problems ⋮ Identification of nonlinear dynamic systems using Hammerstein-type neural network ⋮ Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC ⋮ A model selection criterion based on the BHHJ measure of divergence ⋮ An Improved Divergence Information Criterion for the Determination of the Order of an AR Process ⋮ Semi-parametric dynamic time series modelling with applications to detecting neural dynamics ⋮ Estimating and modeling spatio-temporal correlation structures for river monitoring networks ⋮ An alternate approach to pseudo-likelihood model selection in the generalized linear mixed modeling framework ⋮ Estimating the system order by subspace methods ⋮ A multistage algorithm for best-subset model selection based on the Kullback-Leibler discrepancy ⋮ A criterion for local model selection ⋮ Statistical inference for a general class of distributions with time-varying parameters ⋮ The Co-Integrated Vector Autoregression with Errors–in–Variables

Uses Software

• astsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• A Bayesian analysis of the minimum AIC procedure
• Time series: theory and methods.
• Estimating the dimension of a model
• Unifying the derivations for the Akaike and corrected Akaike information criteria.
• Fitting autoregressive models for prediction
• Smoothing and Interpolation with the State-Space Model
• Regression and time series model selection in small samples
• Further analysis of the data by Akaike's information criterion and the finite corrections
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
• Evaluation of likelihood functions for Gaussian signals
• A new look at the statistical model identification

This page was built for publication: An improved Akaike information criterion for state-space model selection