Tek Değişkenli Zaman Serilerinde Model Seçim Ölçütleri Üzerine Bir İnceleme

Year 2010, Volume: 7 Issue: 1, 186 - 197, 15.07.2010

Hilal Güney , Reşat Kasap

Abstract

Bu çalışmada, Akaike Bilgi (AIC), Son Kestirim Hatası (FPE), Hannan-Quinn Bilgi (HQ), Düzeltilmiş Akaike Bilgi (AICC) ve Schwarz Bilgi (SIC) Ölçütleri dikkate alınarak, tek değişkenli zaman dizileri modellerinde uygun model derecesinin seçilmesi incelenmiştir. Ölçütlerin birbirleri ile karşılaştırılması, Monte Carlo simülasyon yöntemi kullanılarak hangi ölçütün hangi gecikme sayısını kaç kez seçtiği çalışmaları yapılmıştır.

Keywords

Model seçim ölçütleri, Simülasyon, Zaman serileri

Examining Model Selection Criteria for Single Variable Time Series

Abstract

In this study, by using Akaike Information Criteria (AIC), Final Prediction Error (FPE), Hannan-Quinn Information Criteria (HQ), Adjusted Akaike Information Criteria (AICC) and Schwarz Information Critera (SIC), in selecting appropriate model degree in single variable time series are examined. In order to compare these criteria, Monte Carlo simulation method is employed to compute the lag lengths selected by each criteria.

Keywords

Model selection criteria, Simulation, Time series

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