An improvement of Akaike's FPE criterion to reduce its variability

Journal of Time Series Analysis

Volumn 19, Issue 4, 1998, Pages 457-471

  De Luna, Xavier ^a  

^a NONE

Author keywords

Asymptotic efficiency; Consistency; Linear predictors; Order identification

Indexed keywords

EID: 0038563988     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00103     Document Type: Article

References (17)

1. AKAIKE, H. (1970) Statistical predictor identification. Ann. Inst. Stat. Math. 22, 203-17.
2. _ (1974) A new look at the statistical model identification. IEEE Trans. Autom. Control 19, 716-23.
3. ATKINSON, A. C. (1980) A note on the generalized information criterion for choice of a model. Biometrika 67, 413-18.
4. BHANSALI, R. J. (1993) Order selection for linear time series models: a review. In Developments in Time Series Analysis (ed. T. Subba Rao). London: Chapman and Hall, pp. 50-66.
5. _ and DOWNHAM, D. Y. (1977) Some properties of the order of an autoregressive model selected by a generalization of Akaike's FPE criterion. Biometrika 54, 547-51.
6. BOX, G. and JENKINS, G. (1976) Time Series Analysis, Forecasting and Control. New York: Wiley.
7. BROCKWELL, P. J. and DAVIS, R. A. (1991) Time Series: Theory and Methods. New York: Springer.
8. HANNAN, E. J. (1980) The estimation of the order of an ARMA process. Ann. Stat. 8, 1071-81.
9. _ and QUINN, B. G. (1979) The determination of the order of an autoregression. J. R. Stat. Soc. B 41, 190-95.
10. HURVICH, C. M. and TSAI, C.-L. (1989) Regression and time series model selection in small samples. Biometrika 76, 297-307.
11. _ and _(1991) Bias of the corrected AIC criterion for underfilled regression and time series models. Biometrika 78, 499-509.
12. RISSANEN, J. (1978) Modeling by shortest data description. Automatica 14, 465-71.
13. SCHWARZ, G. (1978) Estimating the dimension of a model. Ann. Stat. 6, 461-64.
14. SHIBATA, R. (1976) Selection of the order of an autoregressive model by Akaike's information criterion. Biometrika 63, 117-26.
15. _ (1980) Asymptotically efficient selection of the order of the model for estimating parameters of a linear process. Ann. Stat. 8, 147-64.
16. _ (1986) Selection of the number of regression variables; a minimax choice of generalized FPE. Ann. Inst. Stat. Math. A 38, 459-74.
17. STONE, M. (1979) Comments on model selection criteria of Akaike and Schwarz. J. R. Stat. Soc. B 41, 276-78.