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On the connection between model selection criteria and quadratic discrimination in ARMA time series models

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  • Galeano, Pedro
  • Peña, Daniel

Abstract

This article establishes the connection between quadratic discrimination and model selection criterion in the ARMA framework. We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria.

Suggested Citation

  • Galeano, Pedro & Peña, Daniel, 2007. "On the connection between model selection criteria and quadratic discrimination in ARMA time series models," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 896-900, May.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:9:p:896-900
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    References listed on IDEAS

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    1. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    2. Chow, Gregory C., 1981. "A comparison of the information and posterior probability criteria for model selection," Journal of Econometrics, Elsevier, vol. 16(1), pages 21-33, May.
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