On the connection between model selection criteria and quadratic discrimination in ARMA time series models
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 77 (2007)
Issue (Month): 9 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- 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.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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