An improved Akaike information criterion for state-space model selection

Computational Statistics and Data Analysis

Volumn 50, Issue 10, 2006, Pages 2635-2654

  Bengtsson, Thomas ^a   Cavanaugh, Joseph E ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

AIC; Kullback's directed divergence; Kullback Leibler information; State space model; Time series analysis

Indexed keywords

COMPUTER SIMULATION; INFORMATION THEORY; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; PARAMETER ESTIMATION;

AIC; KULLBACK'S DIRECTED DIVERGENCE; KULLBACK-LEIBLER INFORMATION; STATE-SPACE MODEL;

STATE SPACE METHODS;

EID: 33646086957     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.05.003     Document Type: Article

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