Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion

Bernoulli

Volumn 12, Issue 2, 2006, Pages 221-249

  Matsuda, Yasumasa ^a   Yajima, Yoshihiro ^b   Tong, Howell ^c  

^a TOHOKU UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Conditional independence; Consistency; Graphical model; Kullback leibler divergence; Model selection; Multivariate time series; Periodogram; Spectral density matrix

Indexed keywords

EID: 33745622264     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1145993973     Document Type: Article

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