Bridging AIC and BIC: A New Criterion for Autoregression
To address order selection for an autoregressive model fitted to time series data, we propose a new information criterion. It has the benefits of the two well-known model selection techniques: The Akaike information criterion and the Bayesian information criterion. When the data are generated from a finite-order autoregression, the Bayesian information criterion is known to be consistent, and so is the new criterion. When the true order is infinity or suitably high with respect to the sample size, the Akaike information criterion is known to be efficient in the sense that its predictive performance is asymptotically equivalent to the best offered by the candidate models; in this case, the new criterion behaves in a similar manner. Different from the two classical criteria, the proposed criterion adaptively achieves either consistency or efficiency depending on the underlying true model. In practice, where the observed time series is given without any prior information about the model specification, the proposed order selection criterion is more flexible and reliable compared with classical approaches. Numerical results are presented, demonstrating the adaptivity of the proposed technique when applied to various data sets.
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- Networking & Telecommunications
- 4613 Theory of computation
- 4006 Communications engineering
- 1005 Communications Technologies
- 0906 Electrical and Electronic Engineering
- 0801 Artificial Intelligence and Image Processing
Citation
DOI
Publication Date
Start / End Page
Related Subject Headings
- Networking & Telecommunications
- 4613 Theory of computation
- 4006 Communications engineering
- 1005 Communications Technologies
- 0906 Electrical and Electronic Engineering
- 0801 Artificial Intelligence and Image Processing