Browsing by Subject "Information criterion"

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Article

Forecasting ARMA models: A comparative study of information criteria focusing on MDIC

Mantalos, Panagiotis; Mattheou, K.; Karagrigoriou, Alex (2010)

This paper deals with the implementation of model selection criteria to data generated by ARMA processes. The recently introduced modified divergence information criterion is used and compared with traditional selection ...
Article

An improved divergence information criterion for the determination of the order of an ar process

Mantalos, Panagiotis; Mattheou, K.; Karagrigoriou, Alex (2010)

In this article we propose a modification of the recently introduced divergence information criterion (DIC, Mattheou et al., 2009) for the determination of the order of an autoregressive process and show that it is an ...