Generalized Information Criteria in Model Selection for Locally Stationary Processes
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- Hirukawa Junichi
- Department of Mathematics, Faculty of Science, Niigata University
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- Kato Hiroko Solvang
- Department of Genetics, Institute for Cancer Research, Radiumhospitalet, University of Oslo
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- Tamaki Kenichiro
- School of Political Science and Economics, Waseda University
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- Taniguchi Masanobu
- Department of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University
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Description
The problem of fitting a parametric model of time series with time varying parameters attracts our attention. We evaluate a goodness of time varying spectral models from an information theoretic point of view. We propose model selection criteria for locally stationary processes based on nonlinear functionals of a time varying spectral density without assuming that the true time varying spectral density belongs to the model. Also, we obtain a sufficient condition such that our information criteria coincide with Akaike's information criterion.
Journal
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 38 (1), 157-171, 2008
THE JAPAN STATISTICAL SOCIETY
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Keywords
Details 詳細情報について
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- CRID
- 1390001205286436096
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- NII Article ID
- 110006835620
- 130002113050
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- NII Book ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- MRID
- 2458326
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- NDL BIB ID
- 9598585
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- Text Lang
- en
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- Data Source
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- JaLC
- NDL
- Crossref
- CiNii Articles
- KAKEN
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- Abstract License Flag
- Disallowed