Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154513 | Statistics & Probability Letters | 2007 | 5 Pages |
Abstract
This article establishes the connection between quadratic discrimination and model selection criterion in the ARMA framework. We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Pedro Galeano, Daniel Peña,