ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION

Keywords

Akaike information criterion, Bayesian information criterion, Mathematics, Autoregressive model, Information Criteria

References

• Regression and time series model selection in small samplesClifford M. Hurvich, Chih‐Ling Tsai — 1989
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELSGerda Claeskens, Christophe Croux, Johan Van Kerckhoven — 2007
• On regression model selection for the data with correlated errorsWen Hsiang Wei — 2009
• The Focused Information CriterionGerda Claeskens, Nils Lid Hjort — 2003
• On Variable Selection for Volatility Forecasting: The Role of Focused Selection CriteriaChristian T. Brownlees, Giampiero M. Gallo — 2008
• MINIMIZING AVERAGE RISK IN REGRESSION MODELSGerda Claeskens, Nils Lid Hjort — 2008
• Conditional Akaike information for mixed-effects modelsFlorin Vaida, Suzette Blanchard — 2005
• A Joint Regression Variable and Autoregressive Order Selection CriterionPeide Shi, Chih‐Ling Tsai — 2004
• CHALLENGES FOR ECONOMETRIC MODEL SELECTIONBruce E. Hansen — 2005
• Focused Information Criterion for Capture–Recapture Models for Closed PopulationsFrancesco Bartolucci, Monia Lupparelli — 2008
• Estimating the optimal hedge ratio with focus information criterionDonald Lien, Keshab Shrestha — 2005
• Estimating the Dimension of a ModelGideon Schwarz — 1978
• Model selection - An overviewJayanta K. Ghosh, T. K. Samanta — 2001
• Information Theory and an Extension of the Maximum Likelihood PrincipleH. Akaike — 1973
• Time Series: Theory and Methods (2Nd Edn)P. M. North, Peter J. Brockwell, Richard Davis — 1993
• Model Selection and Model AveragingGerda Claeskens, Nils Lid Hjort — 2001
• Introduction to Time Series and ForecastingRamalingam Shanmugam — 1997
• Editorial: Model selection and efficiency—is ‘Which model …?’ the right question?N. Longford — 2005
• Focused Information Criteria for the Linear Hazard Regression ModelN. Hjort — 2026

Cited by

• Adaptive Order Determination for Constructing Time Series Forecasting ModelsYongli Zhang, Sergio G. Koreisha — 2015
• Statistical Model ChoiceAndre Davids, Gerda Claeskens — 2016
• Focused Information criteria for selecting among parametric and nonparametric modelsMartin Jullum — 2012
• Focused model selection for social networksEugen Pircalabelu, Gerda Claeskens — 2016
• New focused approaches to topics within model selection and approximate Bayesian inversionMartin Jullum — 2016
• Predictive, finite-sample model choice for time series under stationarity and non-stationarityTobias Kley, Philip Preuß, Piotr Fryźlewicz — 2016
• A High‐dimensional Focused Information CriterionThomas Gueuning, Gerda Claeskens — 2018
• Focused information criterion for locally misspecified vector autoregressive modelsJan Lohmeyer, Franz C. Palm, Hanno Reuvers — 2019
• CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTSSaranjeet Kaur Bhogal, Ramanathan Thekke Variyam — 2019
• Development of control quality factor for HVAC control loop performance assessment I—Methodology (ASHRAE RP-1587)Yanfei Li, Zheng O’Neill, Xiaohui Zhou — 2019
• Time series analysis under model uncertaintyLohmeyer — 2019
• The Focused Information Criterion for Stochastic Model Selection Problems Using M-EstimatorsS. C. Pandhare, T. V. Ramanathan — 2018
• The robust focused information criterion for strong mixing stochastic processes with L^2-differentiable parametric densitiesS. C. Pandhare, T. V. Ramanathan — 2020
• The focussed information criterion for generalised linear regression models for time seriesS. C. Pandhare, T. V. Ramanathan — 2020
• The Focused Information Criterion for Logistic Time Series Regression Models Under Locally Biased Estimating FunctionsT. V. Ramanathan, S. C. Pandhare — 2021
• The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear modelsS. C. Pandhare, T. V. Ramanathan — 2022
• Focused Model Selection for Social NetworksEugen Pircalabelu — 2016
• The focused information criterion for stochastic model selection problems using M-estimatorsS. Pandhare, T. V. Ramanathan — 2018
• The robust focused information criterion for strong mixing stochastic processes with L 2 -differentiable parametric densitiesS. Pandhare, T. V. Ramanathan — 2020
• Bootstrap and Other Resampling ProceduresM. B. Rajarshi — 2013

Related papers

• On Autoregressive Order Selection CriteriaVenus Khim‐Sen Liew — 2004
• AR and ARMA model order selection for time-series modeling with ImageNet classificationJi-Hye Moon, Md-Billal Hossain, Ki H. Chon — 2021
• Electricity demand loads modeling using AutoRegressive Moving Average (ARMA) modelsStylianos Sp. Pappas, Lambros Ekonomou, D.C. Karamousantas — 2008
• Gamma and Exponential Autoregressive Moving Average (ARMA) ProcessesBS Otieno, DK Nassiuma — 2005
• Some tests in dynamic models with a finite number of parametersH. Läuter, Norbert Miethe — 1979
• Univariate Time Series Models for Forecasting Stationary and Non-stationary Data: A Brief ReviewB. F. Momin, Gaurav Chavan — 2017