Selecting nonlinear time series models using information criteria
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- Modified information criteria and selection of long memory time series models
- scientific article; zbMATH DE number 3886925
Cites work
- A Bayesian comparison of different classes of dynamic models using empirical data
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Estimating the dimension of a model
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Information criteria for selecting possibly misspecified parametric models
- Maximum likelihood principle and model selection when the true model is unspecified
- Model Selection and the Principle of Minimum Description Length
- Model selection in threshold models
Cited in
(19)- Modelling heavy-tailedness in count time series
- Models for autoregressive processes of bounded counts: how different are they?
- On classifying the effects of policy announcements on volatility
- Selecting nonlinear stochastic process rate models using information criteria
- An empirical study on the parsimony and descriptive power of TARMA models
- Information quantity evaluation of nonlinear time series processes and applications
- Information criteria for nonlinear time series models
- On the performance of information criteria for model identification of count time series
- Cross-validation criteria for SETAR model selection
- Model selection in threshold models
- scientific article; zbMATH DE number 3886925 (Why is no real title available?)
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- Time-varying multi-regime models fitting by genetic algorithms
- Mutual information model selection algorithm for time series
- Model selection for time series with nonlinear trend
- Bootstrap order selection for SETAR models
- Linear approximation of the threshold autoregressive model: an application to order estimation
- Emulated order identification for models of big time series data
- Multivariate contemporaneous-threshold autoregressive models
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