Information Complexity Criterion for Order Determination in Autoregressive Models
Year 2011,
Volume: 40 Issue: 4, 601 - 607, 01.04.2011
Barış Aşıkgil
References
- Akaike, H. A new look at the statistical model identification, IEEE Transactions on Auto- matic Control, AC-19, 716-723, 1974.
- Akaike, H. A Bayesian extension of the minimum AIC procedure of autoregressive model fitting, Biometrika 66 237–242, 1979.
- Bozdogan, H. ICOMP: A new model selection criterion, In H.H. Bock (Ed.), Classifica- tion and Related Methods of Data Analysis, North-Holland, CityplaceAmsterdam, 599–608, 1988. [4] Bozdogan, H. Akaike’s information criterion and recent developments in information com- plexity,Journal of Mathematical Psychology 44, 62–91, 2000.
- Bozdogan, H. Intelligent statistical data mining with information complexity and genetic algorithms,In H. Bozdogan (Ed.), Statistical Data Mining and Knowledge Discovery, Chap- man and Hall, Boca Raton, Florida, 15–56, 2004.
- Burg, J. P. Maximum Entropy Spectral Analysis (PhD Thesis, Department of Geophysics, Stanford University, Stanford, CA, 1975).
- Cho, S. H. and Song, I. A formula for computing the autocorrelations of the AR process, The Journal of the Acoustical Society of Korea 15, 4–7, 1996.
- Enders, W. Applied Econometric Time Series (John Wiley and Sons, New York, 1995).
- Eshel, G. The Yule Walker equations for the AR coefficients, Citeulike-article-id: 763363, 2003. [10] Fuller, W. A. Introduction to Statistical Time Series (Second Edition, John Wiley and Sons, New York, 1996).
- Hurvich, C. M. and Tsai, C. L. Regression and time series model selection in small samples, Biometrika 76, 297–307, 1989.
Information Complexity Criterion for Order Determination in Autoregressive Models
Year 2011,
Volume: 40 Issue: 4, 601 - 607, 01.04.2011
Barış Aşıkgil
References
- Akaike, H. A new look at the statistical model identification, IEEE Transactions on Auto- matic Control, AC-19, 716-723, 1974.
- Akaike, H. A Bayesian extension of the minimum AIC procedure of autoregressive model fitting, Biometrika 66 237–242, 1979.
- Bozdogan, H. ICOMP: A new model selection criterion, In H.H. Bock (Ed.), Classifica- tion and Related Methods of Data Analysis, North-Holland, CityplaceAmsterdam, 599–608, 1988. [4] Bozdogan, H. Akaike’s information criterion and recent developments in information com- plexity,Journal of Mathematical Psychology 44, 62–91, 2000.
- Bozdogan, H. Intelligent statistical data mining with information complexity and genetic algorithms,In H. Bozdogan (Ed.), Statistical Data Mining and Knowledge Discovery, Chap- man and Hall, Boca Raton, Florida, 15–56, 2004.
- Burg, J. P. Maximum Entropy Spectral Analysis (PhD Thesis, Department of Geophysics, Stanford University, Stanford, CA, 1975).
- Cho, S. H. and Song, I. A formula for computing the autocorrelations of the AR process, The Journal of the Acoustical Society of Korea 15, 4–7, 1996.
- Enders, W. Applied Econometric Time Series (John Wiley and Sons, New York, 1995).
- Eshel, G. The Yule Walker equations for the AR coefficients, Citeulike-article-id: 763363, 2003. [10] Fuller, W. A. Introduction to Statistical Time Series (Second Edition, John Wiley and Sons, New York, 1996).
- Hurvich, C. M. and Tsai, C. L. Regression and time series model selection in small samples, Biometrika 76, 297–307, 1989.
There are 9 citations in total.