Journal ArticleDOI
Regression and time series model selection in small samples
Reads0
Chats0
TLDR
In this article, a bias correction to the Akaike information criterion, called AICC, is derived for regression and autoregressive time series models, which is of particular use when the sample size is small, or when the number of fitted parameters is a moderate to large fraction of the sample sample size.Abstract:
SUMMARY A bias correction to the Akaike information criterion, AIC, is derived for regression and autoregressive time series models. The correction is of particular use when the sample size is small, or when the number of fitted parameters is a moderate to large fraction of the sample size. The corrected method, called AICC, is asymptotically efficient if the true model is infinite dimensional. Furthermore, when the true model is of finite dimension, AICC is found to provide better model order choices than any other asymptotically efficient method. Applications to nonstationary autoregressive and mixed autoregressive moving average time series models are also discussed.read more
Citations
More filters
Journal ArticleDOI
MEGA5: Molecular Evolutionary Genetics Analysis using Maximum Likelihood, Evolutionary Distance, and Maximum Parsimony Methods
Koichiro Tamura,Daniel S. Peterson,Nicholas Peterson,Glen Stecher,Masatoshi Nei,Sudhir Kumar +5 more
TL;DR: The newest addition in MEGA5 is a collection of maximum likelihood (ML) analyses for inferring evolutionary trees, selecting best-fit substitution models, inferring ancestral states and sequences, and estimating evolutionary rates site-by-site.
Journal ArticleDOI
jModelTest: Phylogenetic Model Averaging
TL;DR: jModelTest is a new program for the statistical selection of models of nucleotide substitution based on "Phyml" that implements 5 different selection strategies, including "hierarchical and dynamical likelihood ratio tests," the "Akaike information criterion", the "Bayesian information criterion," and a "decision-theoretic performance-based" approach.
Journal ArticleDOI
Multimodel Inference Understanding AIC and BIC in Model Selection
TL;DR: Various facets of such multimodel inference are presented here, particularly methods of model averaging, which can be derived as a non-Bayesian result.
Journal ArticleDOI
Introduction to Time Series and Forecasting.
TL;DR: A general approach to Time Series Modelling and ModeLLing with ARMA Processes, which describes the development of a Stationary Process in Terms of Infinitely Many Past Values and the Autocorrelation Function.
Journal ArticleDOI
Model Selection and Model Averaging in Phylogenetics: Advantages of Akaike Information Criterion and Bayesian Approaches Over Likelihood Ratio Tests
David Posada,Thomas R. Buckley +1 more
TL;DR: It is argued that the most commonly implemented model selection approach, the hierarchical likelihood ratio test, is not the optimal strategy for model selection in phylogenetics, and that approaches like the Akaike Information Criterion (AIC) and Bayesian methods offer important advantages.
References
More filters
Journal ArticleDOI
Estimating the Dimension of a Model
TL;DR: 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.
Estimating the dimension of a model
TL;DR: 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.
Proceedings Article
Information Theory and an Extention of the Maximum Likelihood Principle
TL;DR: The classical maximum likelihood principle can be considered to be a method of asymptotic realization of an optimum estimate with respect to a very general information theoretic criterion to provide answers to many practical problems of statistical model fitting.
Book ChapterDOI
Information Theory and an Extension of the Maximum Likelihood Principle
TL;DR: In this paper, it is shown that the classical maximum likelihood principle can be considered to be a method of asymptotic realization of an optimum estimate with respect to a very general information theoretic criterion.
Book
Continuous univariate distributions
TL;DR: Continuous Distributions (General) Normal Distributions Lognormal Distributions Inverse Gaussian (Wald) Distributions Cauchy Distribution Gamma Distributions Chi-Square Distributions Including Chi and Rayleigh Exponential Distributions Pareto Distributions Weibull Distributions Abbreviations Indexes