Cover Image

On the connection between model selection criteria and quadratic discrimination in ARMA time series models

This 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.
Year of publication:
2007
Authors: Galeano, Pedro ; Peña, Daniel
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 9, p. 896-900
Publisher: Elsevier
Keywords: Asymptotic efficiency Consistency Model selection criteria Quadratic discrimination rule
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319953
Similar items by person