Open Access
Estimating the dimension of a model
Gideon Schwarz
- pp 15-18
TLDR
In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.Abstract:
The problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion. These terms are a valid large-sample criterion beyond the Bayesian context, since they do not depend on the a priori distribution.read more
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References
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Determination of the order of a Markov chain by Akaike's information criterion
TL;DR: In this paper, an objective procedure for the determination of the order of an ergodic Markov chain with a finite number of states is presented, using Akaike's information criterion.