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SELECTION OF WEIGHTS FOR WEIGHTED MODEL AVERAGING

โœ Scribed by Paul H. Garthwaite; Emmanuel Mubwandarikwa


Book ID
110971723
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
363 KB
Volume
52
Category
Article
ISSN
1369-1473

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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