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An improved Akaike information criterion for state-space model selection

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  • Bengtsson, Thomas
  • Cavanaugh, Joseph E.

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  • Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
  • Handle: RePEc:eee:csdana:v:50:y:2006:i:10:p:2635-2654
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    References listed on IDEAS

    as
    1. Cavanaugh, Joseph E., 1997. "Unifying the derivations for the Akaike and corrected Akaike information criteria," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 201-208, April.
    2. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 299-307, October.
    3. 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.
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    Citations

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    Cited by:

    1. Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany.
    2. repec:spr:ijsaem:v:9:y:2018:i:2:d:10.1007_s13198-017-0691-8 is not listed on IDEAS
    3. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012. "Estimating the system order by subspace methods," Computational Statistics, Springer, vol. 27(3), pages 411-425, September.
    4. repec:spr:alstar:v:101:y:2017:i:4:d:10.1007_s10182-017-0304-5 is not listed on IDEAS
    5. Fábio Bayer & Francisco Cribari-Neto, 2015. "Bootstrap-based model selection criteria for beta regressions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 776-795, December.
    6. repec:spr:sankhb:v:80:y:2018:i:1:d:10.1007_s13571-017-0130-5 is not listed on IDEAS
    7. repec:spr:compst:v:33:y:2018:i:2:d:10.1007_s00180-017-0766-7 is not listed on IDEAS
    8. Panagiotis Mantalos & Kyriacos Mattheou & Alex Karagrigoriou, 2010. "Vector autoregressive order selection and forecasting via the modified divergence information criterion," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 254-277.
    9. repec:spr:compst:v:33:y:2018:i:2:d:10.1007_s00180-018-0797-8 is not listed on IDEAS
    10. Tao Zhang & Joseph E. Cavanaugh, 2016. "A multistage algorithm for best-subset model selection based on the Kullback–Leibler discrepancy," Computational Statistics, Springer, vol. 31(2), pages 643-669, June.
    11. Trevezas, S. & Malefaki, S. & Cournède, P.-H., 2014. "Parameter estimation via stochastic variants of the ECM algorithm with applications to plant growth modeling," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 82-99.

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