A bootstrap approach to evaluating the performance of Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) in selection of an asymmetric price relationship
نویسندگان
چکیده
منابع مشابه
An improved Akaike information criterion for state-space model selection
Following the work of Hurvich, Shumway, and Tsai (1990), we propose an “improved” variant of the Akaike information criterion, AICi, for state-space model selection. The variant is based on Akaike’s (1973) objective of estimating the Kullback-Leibler information (Kullback 1968) between the densities corresponding to the fitted model and the generating or true model. The development of AICi proc...
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ژورنال
عنوان ژورنال: Journal of Agricultural Sciences, Belgrade
سال: 2012
ISSN: 1450-8109,2406-0968
DOI: 10.2298/jas1202099d