Generalized Information Criteria in Model Selection for Locally Stationary Processes
نویسندگان
چکیده
منابع مشابه
Generalized Information Criteria in Model Selection for Locally Stationary Processes
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...
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ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2008
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.38.157