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An improved Akaike information criterion for state-space model selection

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  • Bengtsson, Thomas
  • Cavanaugh, Joseph E.

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  • Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
    • Handle: RePEc:eee:csdana:v:50:y:2006:i:10:p:2635-2654
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    1. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 299-307, October.
    2. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 313-315, October.
    3. R. H. Shumway & D. S. Stoffer, 1982. "An Approach To Time Series Smoothing And Forecasting Using The Em Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(4), pages 253-264, July.
    4. Clifford M. Hurvich & Chih‐Ling Tsai, 1993. "A Corrected Akaike Information Criterion For Vector Autoregressive Model Selection," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(3), pages 271-279, May.
    5. Cavanaugh, Joseph E., 1997. "Unifying the derivations for the Akaike and corrected Akaike information criteria," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 201-208, April.
    6. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
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    Cited by:

    1. Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany.
    2. Emmanuel Hagenimana & Song Lixin & Patrick Kandege, 2018. "Study of nonparametric estimation details of instant system availability average," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 9(2), pages 467-481, April.
    3. Besbeas, P.T. & McCrea, R.S. & Morgan, B.J.T., 2022. "Selecting age structure in integrated population models," Ecological Modelling, Elsevier, vol. 473(C).
    4. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012. "Estimating the system order by subspace methods," Computational Statistics, Springer, vol. 27(3), pages 411-425, September.
    5. Yi Pan & Qiqi Yuan & Jinsong Ma & Lachun Wang, 2022. "Improved Daily Spatial Precipitation Estimation by Merging Multi-Source Precipitation Data Based on the Geographically Weighted Regression Method: A Case Study of Taihu Lake Basin, China," IJERPH, MDPI, vol. 19(21), pages 1-18, October.
    6. G. Avlogiaris & A. C. Micheas & K. Zografos, 2019. "A Criterion for Local Model Selection," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 406-444, December.
    7. Panagiotis Besbeas & Byron J. T. Morgan, 2017. "Variance estimation for integrated population models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(4), pages 439-460, October.
    8. Fábio Bayer & Francisco Cribari-Neto, 2015. "Bootstrap-based model selection criteria for beta regressions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 776-795, December.
    9. Patrick Ten Eyck & Joseph E. Cavanaugh, 2018. "An Alternate Approach to Pseudo-Likelihood Model Selection in the Generalized Linear Mixed Modeling Framework," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 98-122, May.
    10. Patrick Ten Eyck & Joseph E. Cavanaugh, 2018. "Model selection criteria based on cross-validatory concordance statistics," Computational Statistics, Springer, vol. 33(2), pages 595-621, June.
    11. Rubén González Rodríguez & Jamer Jiménez Mares & Christian G. Quintero M., 2020. "Computational Intelligent Approaches for Non-Technical Losses Management of Electricity," Energies, MDPI, vol. 13(9), pages 1-25, May.
    12. Panagiotis Mantalos & Kyriacos Mattheou & Alex Karagrigoriou, 2010. "Vector autoregressive order selection and forecasting via the modified divergence information criterion," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 254-277.
    13. Liu Banteng & Haibo Yang & Qiuxia Chen & Zhangquan Wang, 2019. "Research on the subtractive clustering algorithm for mobile ad hoc network based on the Akaike information criterion," International Journal of Distributed Sensor Networks, , vol. 15(9), pages 15501477198, September.
    14. J. G. Liao & Joseph E. Cavanaugh & Timothy L. McMurry, 2018. "Extending AIC to best subset regression," Computational Statistics, Springer, vol. 33(2), pages 787-806, June.
    15. Trevezas, S. & Malefaki, S. & Cournède, P.-H., 2014. "Parameter estimation via stochastic variants of the ECM algorithm with applications to plant growth modeling," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 82-99.
    16. N. Dewaelheyns & C. van Hulle, 2007. "Aggregate Bankruptcy Rates and the Macroeconomic Environment. Forecasting Systematic Probabilities of Default," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 541-566.

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