Asymptotic post-selection inference for the Akaike information criterion
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: Biometrika
سال: 2018
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asy018