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On a criterion for the selection of models for stationary time series

✍ Scribed by H. Linhart; P. Volkers

Publisher
Springer
Year
1985
Tongue
English
Weight
522 KB
Volume
32
Category
Article
ISSN
0026-1335

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We propose a consistent criterion for model order selection in the model identification phase of time series and regression, based on a weighted average of an asymptotically efficient selection criterion, AICC (bias-corrected Akaike information criterion) and a consistent selection criterion, BIC (A